|
Category
Daily Test Statistics
Description
Worst-case ("adverse") net gain or loss, in dollars, of all positions remaining open in this strategy on this test 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.
|
