I was holding TWM (2x Short version of IWM) in my Schulenberg IWM/TWM/UWM model when there was a 4:1 split at the Open last Friday. Although C2 correctly adjusted open and close prices to generate gain/loss statistics, I was left with a spurious intra-day drawdown that has now given my model a 70% maximum drawdown figure. This appears due to the fact that my number of shares dropped to a fourth of the original holding, and the drawdown must have been calculated using the new number of shares – but at the previous unsplit price.
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