Hi
I am looking at a system that shows 1.4% as max DD and yet one of his trades show DD = 3.91% ! How is this possible ?
There are two possible reasons:
- Peak-to-valley single-trade drawdown may have occurred while other trades were open and thus portfolio-wide equity consists of different single-trade components.
- Portfolio-wide equity stats are based on intermittent snapshots of portfolio equity. It is possible a snapshot missed an equity low-point.
