It has just dawned on me that I can't remember seeing an equity curve that has included tax - which i find very surprising and raises a number of questions.
It would be nice to be able to ignore tax in the data altogether (pay it from funds outside the trading pool would work), but that's not very realistic.
Obviously tax should be taken from the profit when paid. But should it also be reflected in any calculations relating to either pool size or profit?
Nearly every system performance indicator will be affected once tax is included into the equation. It would nice, but unrealistic to compensate for tax on the sale of each trade - although the equity curve would be smooth, the compounding effect of any growth would be missing.
It's very odd that I have not heard anything about any of this before.
What do others do?