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> In order to see what would be the present value of a back-test system
> drawdown we need to re-calculate it according to the its price ratio
> relatively to the different levels of past and present prices .
That applies to other statistics in the backtest result as well. They
should all be normalized to price or volatility. The easiest way is to
have the system trade more contracts (shares) when the price is higher
or the volatility is higher. Personally, I prefer volatility but price
works fine too.
# contracts = volatility / x
or
# contracts = price / x
--
Dennis
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