Yes sir, empirical testing. Of course. 
Theoretical maximum is no recover at all. Even if I have a very robust system I could lose. It is all about probabilities. If I recall that correctly there were stages in the market where a price of a dow stock fell in minutes to almost zero and climbed after again to the old value of xxx or something dollar. Anyways, even life on it’s own is risk. So, we have to live with the theoretical risk of losing it all. Probability is very low, but exists. That’s why I do just have risk equity at play there.
However, in most other cases it is much worse. I checked almost 100 different strategies or maybe more. Some of my own ideas and others as well. 90% of those strats are good for losing. No edge at all. Maybe they make some in one year, but you have to give it back a few months later and some more. Right now I have an eye for that if I see the equity chart of a system. If it looks like a rollercoaster, and most look like a rollercoaster, it’s just a matter of time until there is an end to the ride. As with every rollercoaster. Plus as with every rollercoaster, them have to pay for the ride. I hope them enjoyed it, lol.
The numbers I wrote are very similar to those of highly effective hedge funds. There is almost no fund who has not a dd period like that, sometimes a whole year. Those dd periods are part of the business. And that’s where the risk comes into play. If risk is too high, there will not be a recovery. Because the capital at stake is gone forever at those dd periods. Then frankly, why would a professional just risk a little of his account on any one trade? Because he knows it is a fact that those dd periods exist.
Most ppl just look for the profits and never look for the drawdowns. That is like you would learn to depart a plane, but not to land. Then they taxi into position and depart, fly a bit and enjoy their flight and after all have a very hard come back. Then, even if somebody learns to land that gives no warranty for anything. And that’s why I say I would be careful with bragging of extraordinary high returns. Those extraordinary high returns can just be made with a lot of risk. It can go for a while. For a year or some. But sooner or later the rule of reality strikes back in almost all cases. That’s why I say rather look for risk than return. Sure, we want have huge returns, but we can only control risk, not return. What the market gives us, is in control of the market. If I read through those forums all noobs want to know how high they can make it, but they almost never ask for the risk what is needed for that. And risk is not an academic number. It is very real.
At least I think every roi higher than 25% is extraordinary great! Where else can you have those high returns? If this is a consistent roi, then I would classify that as a way better roi than say 500% in one year and -200% in another. Because in the latter case the numbers might switch and if the dd is as large as the account then it means “game over”, lol.
