Hi Hany - When we analyze “Max peak-to-valley drawdown” we “mark to market” the entire portfolio and analyze how it performs while the positions are open. If you think about it, it’s quite possible that individual trades do not reveal the portfolio drawdown within the individual trade lines that C2 shows in the trade-by-trade data.
Here is a simple example to demonstrate:
Imagine you buy 1,000 shares of XYZ stock on Monday for $100 per share. On Tuesday, the CFO resigns, and the stock plummets to $50 per share. But then the CEO reassures investors that all is well, and the stock recovers back to $99. Now, on Tuesday at the end of the trading day you sell the stock @ $99.
So, on C2’s trade data, you would see a “loss” of only $1 per share ($1,000) on Tuesday.
But the peak-to-valley max drawdown would say the maximum loss occurred on the same Tuesday: $50,000!
There’s no discrepancy or error here. The two numbers are describing different things.