How to interpret a chart which shows current trade Pnl Sum

https://preview.redd.it/grhpqtd5p7v51.png?width=480&format=png&auto=webp&s=394736366befacd3285102b1ceccdc22c1af32e3

I am currently backtesting a mean reversion strategy which manages many pairs at the same time.

From a Realized Pnl perspective it doesn't look so bad. For me, "Realized Pnl" means the actual amount I recieved on my cash account from closing positions.

But I am worried about the "Current Trade Pnl" chart. Like the name says, it is the Pnl Sum of all open positions I hold:

https://preview.redd.it/lwxjguhup7v51.png?width=480&format=png&auto=webp&s=e1fb0acdb2e47e7f7bbddf138d0bf286454593ee

It does not look so good. But I am actually having a hard time to correctly interpret the meaning and significance of the chart. Since this is a mean reversion strategy with a market neutral approach, I only close positions when the current price diff of a pair shoots back to the mean and exeeds it by the same threshoold in the other direction (using zScore Normalization).

Which results most of the time in a positive Pnl.

So what happens to that poor Current Trade Pnl chart is that all the nice positions closing with a positive Pnl get continously subtracted from it, leaving the chart with only the not-so-good (yet) negative Pnl positions.

So how should I interpret and weight the significance of this chart?

To give a complete picture, I also want to show the Actual Pnl chart. It is the combined Pnl of the two charts above and shows my actual pnl line:

https://preview.redd.it/bnn3eokxq7v51.png?width=480&format=png&auto=webp&s=18c86f9f758761b536ee178a1026320b17d3fdb1

Submitted October 25, 2020 at 03:57AM by flotschie
via https://ift.tt/31D6EDa

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