You're overestimating what i'm trying to do here, probably it's my ambitious thread title.While my current view that the concept of attempting to calculate future anything is a quite pointless task, I haven’t always been such a miserable curmudgeon and remember being gung ho on all this really interesting stats stuff. So, FWIW:-
Chande’s method involves nothing more complex than multiplying your monthly standard deviation by 5.
But even the more complex manoeuvres in this area still require a nod to standard deviation regardless of whether you are considering a constant or stochastic volatility model so I’m not sure you can so easily disregard SD as bunny suggests.
Mean return and variability of return are key. As is quantity of data of course. While from a professional perspective you would be justified in expending the effort to provide a realistic (LOL) value for this parameter, it is largely meaningless from an operational trading viewpoint and possibly even counter-productive for a retail trader with insufficiently lengthy track record.
When I backtest a system I find a max drawdown value. I want to know if that value was likely to happen, give that sequence of trades, or if it was just a lucky combination (or unlucky, for that matter).
If it happens again in the next cycle, that's definitely hard to estimate, but at least I know what to expect as a likely result if the system continues producing, and I know what an "out of bounds" result looks like, making it easier to identify if/when the system is not working anymore.