I would like be able to see system performance by minimum margin requirements. This would give one a vendor agnostic (on the aggressive vs adverse scale) method of viewing systems based on capital requirements. It might also reveal systems that make profits by trading large number of contracts or that require holding several open positions. I would not propose factoring in margin calls and equity could go negative.
I imagine one way to do this would be to reduce all positions to scale to X futures units. So, if a system trades 5 contracts then that could be reduced to a 1 contract position. But, a system that has 2 open positions would be reduced to 2 contracts minimum margin requirement or a randomized "one or other" method.
Also, I would propose adding MAE and MFE for every trade for at least the vendor benefit.
