Yes, the walk forward analysis is reoptimising.
The report shown here is produced by TradeStation which is how I started my systems approach back in the early 90’s.
About half way down the page you can see a number ‘Account Size Required” which is calculated from the largest single loss (shown just above).
Therefore the assumption is that you only need enough capital to satisfy the single largest loss, which is BS.
The report suggests the maximum intra day drawdown is -5025 based on a single contract. I made the assumption that the average punter can handle a 20% loss of capital and extrapolated that -5025 out accordingly.
** NOTE #1**
I should also point out here that a LOT of people start trading with a very small sum of money, i.e. $2000, with the full intent of blowing it completely. You will regularly read people blow themselves up 3, 4 or 5 times using these style systems because they use that Account Size Required number. They’re not approaching this like we do, from a more measured risk management approach. They’re looking to make a 100%+ return but based on bugger all capital.
***Note #2***
These trading competitions are somewhat dodgy. They are run by brokerage firms and they induce hundreds of traders, most with very small sums of money, usually less than $10k. Many participants simply use ‘risk’ money, or money they actually intend to lose. So they take on complete risk of ruin in order to be the lucky one to survive and win. This is why you see so many score 600% returns. They do not trade like this in the real world, and for every one we hear about, another 900 drop their full wad.
