Recommend the addition of a parameter in the performance report summary indicating the user account size required to run the strategy.
The "Max. Drawdown" statistic presently in the summary does not cover this, as it only considers the trade entry and exit points. For example, say a trade over five days exits with a profit, but between the entry and exit five days later experiences a 20 percent drop in account value, the Max. Drawdown would not report this as drawdown.
Recommend that the new parameter be called "Min. Account Size" to reflect the bottom line nature of the number.
There appears to be some sensitivity to the use of the term "drawdown" within the NT universe. As a thought experiment, imagine getting a margin call from your broker, where she requests that more money be deposited immediately in the account in order to cover "drawdown." Then imagine her response when I tell her that she is seeing it all wrong because it really isn't drawdown that she is seeing. Now imagine a "Min. Account Size" statistic in the performance report that advises the trader of just how bad the pain could get when running the strategy.
The "Max. Drawdown" statistic presently in the summary does not cover this, as it only considers the trade entry and exit points. For example, say a trade over five days exits with a profit, but between the entry and exit five days later experiences a 20 percent drop in account value, the Max. Drawdown would not report this as drawdown.
Recommend that the new parameter be called "Min. Account Size" to reflect the bottom line nature of the number.
There appears to be some sensitivity to the use of the term "drawdown" within the NT universe. As a thought experiment, imagine getting a margin call from your broker, where she requests that more money be deposited immediately in the account in order to cover "drawdown." Then imagine her response when I tell her that she is seeing it all wrong because it really isn't drawdown that she is seeing. Now imagine a "Min. Account Size" statistic in the performance report that advises the trader of just how bad the pain could get when running the strategy.
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