Gross Profit $3,351.24
Net Profit $3,351.24
Gross Loss $0
Max Drawdown $0
Avg. MAE $247.50
Avg. MFE $743.50
AVG. ETD $73.25
MAE reflects how much we ran down before turning a profit. Since it shows $247 which is an average of the 5 instruments, why does it show 0 for the drawdown? I would expect Max Drawdown to be near $1000. Sometimes MAE does align with Drawdown, just not in this case.
FOLLOW UP: It seems Max Drawdown reflects "Realized" decrease to the equity line not "Unrealized" decrease. Correct?
The MFE and ETD make sense. (This is just a rough estimate since each instrument’s Max values don’t happen at the same time) - but if we multiply the MFE by 5 we get 3715 and ETD times 5 is 365 - the difference is close to the Net Profit. 3715 - 365 = 3350. It's almost perfect!
Thanks in advance!
-Sam
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