Here are stats for DAX futures trading system which I've developed. It trades two contracts with slightly different rules for each. Period: 1 June 2001 - 29 July 2002 (14 months) Slippage & commissions: 1 point/order (2 pts / round-trip) for each contract. Interest rate: 0 Total Net Profit (in points) 9,834.5 Number of trades: 770 % Profitable trades (incl. flat): 42,2% Profit Factor: 1.73 Maximum Drawdown (in points) 565.5 Let's assume we take 200k EUR for trading these two contracts. Maximum drawdown in real trading can be substantialy higher - 2,000 points? Total Net Profit in the next 14 months can be lower - only 4,000 points. Each point is worth 25 EUR, so we will earn 100k with 200k capital ( 50% ) with 50k ( 25% ) drawdown. I wonder how these stats will look like, if backtesting period will be longer: 36 months or more.