Evaluating Strategy Portfolios: The capital curve!

I do not use statistical methods that assume a normal distribution of financial data.

I use:

• MDD, which is Strategy Max Drawdown / Benchmark Max Drawdown.

• MMDLocal, for example Max Drawdown last three Months / Benchmark Max Drawdown last three Months.

• TTR = Days to reach New High After Drawdown (especially after Max Drawdown!).

• UMC = Strategy Return During Benchmark Uptrends / Benchmark Return During Uptrends. Especially after Drawdowns, I want to see a radical bullish reaction of the cap curve: “released Ball under water” behavior.
  

This is what I want to see:

• The strategy needs to make new highs (especially after max. DD) before the Benchmark.

• The max DD should be better (or at least equal) than the max DD of the Benchmark.

• And the Strategy should be monster strong in uptrends of the Benchmark

I go through the (unhedged) CAP curve year by year to spot this (how many years in the backtest the strategy showed this behavior?)

Best Regards

Andreas