That is how I have it set up.

DMM(+) on the (+) battery terminal, and the DMM(-) on the (+)battery cable.
DMM Probe leads: Red = 20A and Black = COM

Everything should be in series.

Either way, why are my lights taking such a huge hit voltage-wise (over 1.0v), yet no other accessories affect it by more then 0.20v?
Does this indicate a failing alternator, or some sort of excessive electrical draw problem in the lighting system?

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2016 Monsoon Gray Audi Allroad - 21k
2008 Black Mercedes E350 4Matic Sport - 131k
2014 Jeep Wranger Unlimited Sahara - 62k
2003 Gray Mercedes ML350 - 122k