I'm backtesting an ES strategy on day bars that has a $600 stop and runs at most once a week. This is accurately reflected in the Period DD column. The Profit p.m. column, which the mouseover says represents Profit per month, can go like this:
8/15/2005 $563.50
9/12/2005 -$9,150
9/19/2005 -$18,300
10/3/2005 -$2,033
10/10/2005 -$9,150
11/21/2005 $$3,764
For each of those weeks, except for the last, the Cum Profit and DD columns each showed -$600.
Could you explain to me how this is possible.
8/15/2005 $563.50
9/12/2005 -$9,150
9/19/2005 -$18,300
10/3/2005 -$2,033
10/10/2005 -$9,150
11/21/2005 $$3,764
For each of those weeks, except for the last, the Cum Profit and DD columns each showed -$600.
Could you explain to me how this is possible.
Comment