The worst-case value S.NetDlr could have reached this period, with each open position marked at its least favorable price of the period (low for longs, high for shorts) instead of its closing price. Also available as S.NetAmtMin.
Notes
S.NetDlrMin - S.NetDlr equals the sum over open positions of quantity × (low - close) for longs plus quantity × (close - high) for shorts. It is therefore the worst theoretical mark-to-market print of the period relative to the prior close, gaps included — the largest one-period loss the account could have shown had it been marked at the least favorable moment. Entry prices are not involved; compare S.MAE, which measures each position's excursion from its entry price.
Positions that exited at the close of the period are still included. On a position's entry day, only excursion that could have occurred after the entry is counted; a position entered at the close contributes nothing. For a strategy with MarkToMarket: False, open positions are not marked and S.NetDlrMin equals S.NetDlr.
