I'm back-testing a grid system, and am desperately trying to confirm if the relative drawdown or absolute drawdown takes a grid system into account?
For example, my backtest statement shows the Relative DrawDown on a backtest of 1 year to be $6k (give or take). However, nowhere in the statement is there actually a realised loss of anything near $6k. So, did the backtester detect an open drawdown? Where does this Relative DrawDown value come from when backtesting a grid system?
Any help is much appreciated!