Sets — which set carries the strategy · net of pro-rated costs, closed round-trips booked on exit day · "without" rows are arithmetic, not a re-run
Inside the worst drawdowns — which set lost what (day after the peak → trough)
Episodes are measured on the daily mark-to-market series; the per-set cells are closed round-trips inside the window, so they need not sum to the depth.
Correlation of daily P&L between sets
Days on which a set closed nothing count as 0. Above 0.7 the two sets are mostly the same trade twice, with twice the margin; near 0 they earn their keep as diversifiers.
Without one set — arithmetic, not a re-run
The attributed P&L with one set subtracted. A set whose exit reads strategy-level P&L, that shares margin, or that the Universal Exit closes together with the rest will not behave like this on its own. To know, run the variant without it.