Thread by @theBuoyantMan

This is a raw output of the one lot backtest I did on one of the strategies I trade currently.

Essentially after all the optimisation and out of sample testing I want to look at the performance of the system holistically for the last 10 years.

This starts with a one lot test.

After that, I test for scenario where I'd use the equivalent of maxDD amount to compound each lot and scale the system.

If I test that, the risk of ruin is higher (as at some point you get wiped out having only max DD amount per lot, and facing the same maxDD)

These tests are very optimistic in it that they assume FILLS at the exact price point (which may not be possible). So, there are calculations to be made after this step.

That said, you see 2017? That's when our account got wiped out in this manner of scaling 1 lot per maxDD amt.

It's important to test out different compounding scenarios before you actually start applying compounding to your account.

If you start off aggressive, and your bad luck - the actual maxDD scenario happens in your very first year, then you'd essentially go close to blow up.

FYI: This test was done using Python + Backtrader framework.

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- indicators based
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- FNO, Cash, etc.,

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https://twitter.com/theBuoyantMan/status/1332717743607406592?s=20