As you know, C2 “Max Drawdown” Calculation Method as bellow:
"Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local “peak” to a subsequent point in time (thus this is formally called “Maximum Peak to Valley Drawdown.”)
In my opinion, that Calculation Method is not clear for a REAL Drawdown of a strategy because the “largest percentage amount that the equity chart” is not exactly for evaluate a strategy. It should “largest percentage amount that the BALANCE chart” instead.
For example my strategy (https://collective2.com/details/118816746) Max Drawdown Calculation:
The largest BALANCE chart is $13,754 only (13,419+335) but C2 show $14,242 (largest equity chart). That mean it’s worse 3.5% DD than it’s real DD.
Thought, C2 should add a largest balance line (above S&P500 line) and/or a Max DD based on “Maximum Peak balance to Valley Drawdown”.
Tips for Investors. Start subscribe a strategy closed all open position or a strategy with floating DD (you will get better results if those positions are loss). Do not jump into a strategy with open positions of floating gains.