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You need to calculate the return daily where return =
Daily Profit / (Number of Contracts * BigPoint Value * EntryPrice)
The cume return on Day 1 = (1+ ReturnToday)
Every following day = (Cume Return Yesterday) * (1 + Return Today)
At then end, Cumulative return = Cume Return - 1
-----Original Message-----
From: Michael Stewart [mailto:michaelstewart@xxxxxxxxxxxxx]
Sent: Wednesday, December 05, 2001 8:32 AM
To: Omega
Subject: Return measurement
If your futures system trades a variable number of contracts how can you
fairly estimate the rate of return - would/could it be a) P&L / Total
account size for the period or b) the sum of P&L's for each trade / account
size for each trade or c) P&L / Average account size for the period
Whilst on the subject of 'return' - are there any seasoned traders who maybe
happy to share their own performance objectives/results - return for an
'average' month for example as a return on initial margin (as return on
account size can be so misleading).
Thanks
Michael Stewart
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