Thanks for the formula!
I'm not sure what the variables stand for, though.
If I apply the formula to the examples I don't get the correct result:
I assumed that win-loss=profit
and Margin = Largest margin
The TestPeriod should be 2 years
1)
100*1/2*41/247 = 8.3
it should be 40
247 is the largest margin
2)
100*1/2*16/15 = 53.3
it should be 15
By the way, can you also post the formula of the capital requirements?
It behaves somewhat strangely below 100$ capital
