Comparing monthly returns with profits/losses, some strategies appear way off. For example, Zero T reports a 5.3% drawdown in May 2016, yet only a $17 loss. Which is correct?
Can you post more information about how you are retrieving this data through C2Explorer? Including screenshots may sometimes be helpful.
Main screen https://collective2.com/details/94661371 shows hypothetical returns by month and p/l per trade.
I just don’t understand your question. Where do you see a “$17 loss”? Is this question related to C2 Explorer?
Zero T experienced a $19 loss in May 2016 ($5 on May 4th and $14 on May 6), which, at a glance, does not appear to come close to representing a 5.3% drawdown in that same period. What am I missing?
Let me phrase it another way - looking at p/l for Zero T in May 2016 the strategy was clearly profitable, yet a 5.3% loss is shown… this doesn’t add up.
Look at the trade opened on 5-24 but closed on 6-1. That trade had a 7.78% drawdown and most, if not all the drawdown, probably occurred in May hence the negative monthly return.
Moreover, this likely inflated the return for the month of June as the drawdown recovered. June’s realized profits to date are only $275 and surely do not represent the 7.7% return to date for June.
