Has a request to include a capital requirement calculation in backtesting and possibly in optimizations ever been created? I do not see a mention of one when I search through the forum.
Here is an example of what I am curious about:
If I were running a backtest on a strategy using the ES as the instrument.
Intraday margin per lot: $500
Lots: 2
Margin requirement: $1,000
Max drawdown for all trades: 10 ticks at $25 (2 lots * $12.50) per tick or $250
Total minimum required account capital: $1,250
The final value of $1,250 is all I am interested in having displayed in the Summary of a backtest. It is similar to the average MAE but it would provide a very useful metric when testing strategies.
I can use loss limit logic including margin requirements in a strategy to test whether the limit is exceeded, but that does not provide the most straightforward value.
An option in the optimization to be able to solve for minimum account capital required to trade a strategy based on a set of parameters would be very helpful too.
Thank you for any info.
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