Here's a question that Elite Trader members are typically helpful at answering. When testing systems across various trading instruments, how do I maintain an apples-to-apples comparison? My trading partner has been building trading systems for futures for many years, but we recently started looking at results from the cash indexes as well. So if we look at the results in the e-minis (ES, NQ, ER2) and the similar ETFs (SPY, QQQQ, IWM), how do we compare them? I think I should be looking at the Annual Rate of Return and the Max Drawdown, particularly as a percentage of the Initial Capital to get risk-to-reward ratios on each system. I could be wrong, but if I'm right, there are problems in getting a true comparison. I think when analyzing the results of a system across instruments that we should take an "all in" approach -- meaning all available money in the account is being used for the traing signal. That is, I should take into account the different prices of the instruments. For instance, based on yesterday's closing prices of the SPY, QQQQ and IWM and day trading at a 4:1 margin, I would need $33,000 to trade the SPY, but only $13,000 for the QQQQ and $16,800 for the IWM. So if I set the Initial Capital to $33,000 and the share size to 1000, I'd use all of the money in the account for the SPY, but somewhere around only 50% of the money for the QQQQ or IWM. Should I keep the share size constant at 1000 shares and change the initial capital? Should I keep the initial capital constant and change the share size to use up of the capital? Is there an "all in" feature of TradeStation that I don't know about? Not going all in affects the Annual Rate of Return, which I think is important when doing the apples-to-apples comparison. But maybe I'm wrong on this, and someone can explain. And then what do I do about the futures contracts (ES, NQ, ER2)? Keep the initial capital the same as the ETFs and use up all of the available capital? What's a reasonable margin price for the ES, NQ, and ER2 to use up all of the available capital? Thanks for helping me think about this problem.