Best-case ("favorable") net gain or loss, in dollars, of all positions remaining open in this strategy on this test date
Notes
Each open position contributes its favorable excursion from its entry price: the (positive) amount by which it would have been in profit had it been marked at its most favorable price of the day. The excursion is floored at zero per position, so a position whose most favorable price of the day is still below its entry price contributes nothing. S.MFE is the sum of those per-position values — a portfolio-level total of conventional per-trade MFE.
For the best theoretical portfolio-level P&L of the day relative to the prior close (no entry prices, no per-position floor, gaps included), see S.NetDlrMax.
The default "MFE" daily stats graph is calculated as S.MFE / S.Alloc and displayed as a percentage.
