# sigScaleOut on short trade causes strange result in Max. trade drawdown

I have been seeing unusually large Max. trade drawdown numbers in my backtest reports on short trades.

The values have been far in excess of the Max. system drawdown, which I don't think is possible.

This problem is isolated to short trades where sigScaleOut is used.

To better understand the situation, I wrote a simple test on SPY for 7/31/2020 on a 5-minute time frame, and forced entry and exit based on the time of day so that I could isolate just one single profitable short trade. This test was designed to only work on this one symbol at that particular time so I could see just one trade. Here is the code:

``````// sigScaleOut test
// Code forces entry and exit at certain times so I could test a profitable short trade.
// For use on SPY on 7/31/2020 in Eastern time zone.
Short = tn == 093000;
Short = IIf( tn == 101500, sigScaleOut, Short ); // Comment this line to see impact of sigScaleOut
Cover = tn == 125500;
SetPositionSize( 50, spsPercentOfEquity );
SetPositionSize( 50, spsPercentOfPosition * ( Short == sigScaleOut ) ); // scale out 50% of position
``````

Here's the chart showing the trade arrows. The first red arrow is the short, the second is the scale-out, and the green arrow is the cover.

Here is the backtest report which includes the scale-out. Is it really possible for this trade to have such a large DD? And is it possible for the Max. trade % drawdown to exceed the Max. system % drawdown?

How can the Max. trade drawdown be 50% when the MAE is 0.2%?

Then I commented out this line:

``````Short = IIf( tn == 101500, sigScaleOut, Short ); // Comment this line to see impact of sigScaleOut
``````

Without the scale-out, the Max. trade drawdown looks more reasonable, although I don't understand why the Max. trade % drawdown would not be exactly equal to the Max. system drawdown given that there is only one trade in this test.

MAE is the same without the scale-out:

I have three questions:

1. Am I incorrect in assuming that the Max. trade % drawdown should not exceed the Max. system % drawdown?
2. Is there an explanation for why the Max. trade drawdown would be so high when SigScaleOut is used?
3. How can the Max. trade drawdown be 50%, when MAE was 0.2%?