Matthew Klein (Collective2 Help Desk)
Dec 14, 16:46 EST
Here’s how that stat was calculated.
First, we begin measuring at the time the initial long position is entered (11/9 1:31 AM ET) @ price 23484.
We search for the most adverse movement in @YMZ7 starting at 11/9 1:31 @23484 until the position went flat at 11/23 11:41.
We found the “worst” price was 23205 which was hit at 11:15:17 at 10:00:00AM.
We found that the quantity open at that time was 5, and the VWAP entry price at that time was 23391.272.
So we came up with: 23205-23391.27 = 186.27 points
186.27 points X quant=5 X $5 per point = $4656
So there are a couple places where each individual trade drawdown stat can be wrong. First, perhaps our minute-bar data is different than the actual data? This can happen rarely.
Next… is our VWAP of the entry price the same as yours? Here is the most likely source of discrepancy… this is a complicated trade, with multiple legs in and out, and so here perhaps is where C2 and your broker differ (see screen shot).
But I re-ran the VWAP of the entry price by hand and it looks good to me.
Hope this helps.