Trading system realistic expectations

[SaidBitar]

After developing the trading system and making the stress test for it I try to answer some questions regarding my expectations from the system under test

DD(length and depth), CAR, market conditions, maximum capital that the system can trade and the minimum capital that it requires all of these information can be answered directly from the Backtest, MCs, year by year review.

one thing that it will be nice to know if there is a way to measure how long does it require for the system to be profitable. I know this depends on the market condition and starting date but i am wondering if there is a way to say for example this system after x months it must be profitable regardless of the starting date or the market conditions

[SaidBitar]

Said Bitar wrote:

one thing that it will be nice to know if there is a way to measure how long does it require for the system to be profitable.

I think the answer can be the time required is the duration of the longest DD.

Maybe it will be good to add it as additional metric in my MCs

[Nick Radge]

The non-compounded rolling window analysis is designed to give some type of insight into that.

I’m not sure if there is some mathematical way to determine it, but even if there was it would still be reasonably aligned with the rolling window.

[Author]

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