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Update Drawdown Calculation Use OHLC of the Equity Curve
Expected Behavior
The low and high of the equity curve are part of the drawdown calculation.
Actual Behavior
We use the daily close.
Potential Solution
Use the low and high instead of the close.
Checklist
- [x] I have completely filled out this template
- [x] I have confirmed that this issue exists on the current
masterbranch - [x] I have confirmed that this is not a duplicate issue by searching issues