Ok I see, it's easier of objectivly compare different systems using points/handles as it is strategy neutral. I did quick compare to my mechanical system which do trade the ES future in the same time frame as yours, IT position trading, about 1-3 roundtrips per year. Starting at the equity for 2001 it does end up at $11m for 2006, this using a Margin to Equity Ratio (MER) of 20% ($20,000 for each ES contract traded). What risk exposure/MER do you use in your simulation and in live trading?
The formula is pretty simple:
(Account Equity * Margin_equity_ratio_I_want_to_use / ES price) / big point value
So if I want to control double my equity, I would use:
($1,000,000 * 2 / 1400) / $50 = 28 contracts
It looks like I use margin that your method, but I can accept a 30% drawdown or
more really (at least on a portion of my portfolio...I don't trade 100% of my worth
using one system).
Have you tested more than just from 2001? What's your starting amount?
D
I don't make predictions, I just react.