pt,
According to that link, the max drawdown for a 1x system is 47%, the max drawdown for a 2x system is 74%.
Do you think any experienced trader would still be using this system by the time it lost 50 to 75% of his/her initial stake?
Most would bail out way before then (and consider the system broken) - probably at 10% or less. But since some of those drawdowns also wind up being winning trades, you can't reduce the downside risk without also limiting your gains.
My point is: you're very focussed on the system return. But if you don't also work on limiting drawdowns you won't have a usable trading system.
By the way, since mfb uses Amibroker to test this system he should be able to give you the drawdown for the system as it stands since that is calculated in every run.
I should say also that I'm not trying to take potshots at you or your system, just trying to be critically helpful.
Hiker
