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Howard, my query is similar to that of rub92me.

My understanding was that you could only take positions if you have capital to take the trade. On some days, and at some points during the trading/testing period, its possible that a trader may get more entry triggers than he has capital for, so some discretion must be applied here. This discretion cannot be tested and this is exactly why we apply montecarlo analysis when backtesting. And the minimum profit from the montecarlo applies to the poor bastard that picked all the dogs and the worst possible trading route whilst trading the system.

Systems which by their design take only a low amount of trades, and consequently have less number of possible trade permutations and combinations, have extreme profit/drawdown figures somewhere acceptably close to the mean.

Such a system would be ideal to trade in the sense that you would have a very good idea of how it would perform in the future in terms of profit/drawdowns as opposed to knowing you will return somewhere between two values very far apart.