Category

Daily Test Statistics

Description

Worst-case ("adverse") net gain or loss, in dollars, of all positions remaining open in this strategy on this stat date

Notes

This is theoretically the worst daily net P&L (M2M) value that could have occurred during this day, had all positions touched their least favorable prices simultaneously.

The default "M2MA" daily stats graph is calculated as S.M2MA / S.Alloc and displayed as a percentage.

 

 

 

 

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