Ok, but it would be good to have a metric like "average" CAGR or something like that. I mean, if I use an algo that compounds for 5 years what matters at year 5 is how much I made so far, although I understand that drawdowns are random since they follow the diffusion equation and thus can happen any time, particularly at the end of year 5
Concerning the second question, how much more capital would it be needed to restart a strategy?
In the manual it refers to
reinvesting--> an amount proportional to the square root of 2, for instance: Margin = OptimalF * Capital * sqrt(1 + (WinTotal-LossTotal)/Capital);
withdrawing profits--> Remaining Balance = Capital * sqrt((Capital+TotalProfit)/Capital)
Is there a mathematical equation for the relationship between required capital and time (or number of trades)?
Thanks again for your valuable input.
Last edited by Mithrandir77; 07/24/14 06:36.