Something is up with this book simulation.
Will
Will,
It looks like the liquidation value of R1V3 drops to $750 on June 8th because the cash and short position are so close causing a leverage of 46.54, multiplying the effect of the subsequent 5% jump of the short position, resulting in massive gains. It’s easy to miss when looking at the charts of R1V3 itself because the cumulative performance was already so close to 0 at that point. Because your book simulation buys R1V3 at $750, the jump to $2690 on the next day has a dramatic impact on the performance, being exacerbated by the leverage on your book simulation.