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And if you traded twice - say one trade of 10 lots and another trade of 5
lots within the same day?
To work out the return you need to ascribe a value to the margin required
for each lot - so if you look at the return based on the max account size
your understating the return whereas if you take the min your overstating?
> 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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