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Update Drawdown Calculation Use OHLC of the Equity Curve

Open AlexCatarino opened this issue 9 months ago • 0 comments

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 master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues

AlexCatarino avatar Apr 16 '25 17:04 AlexCatarino