I have created simple example where I buy an instrument, then just hold it. no stops, no profit target, etc.
When I run the strategy analyzer, it shows the max drawdown as the total realized value on the trade (e.g. the max drawdown equals the net profit), whereas I know based on the performance of the instrument that there have been unrealized drawdowns greatly in excess of that.
I always assumed the max drawdown was based on mtm, but here it seems based only on realized.
Can you clarify?
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