How Futures Platform Metrics Are Calculated for Accounts and Strategies

Summary

This reference explains how a futures platform derives performance and activity measures at four levels: individual accounts, weighted account portfolios, individual strategies, and weighted strategy portfolios. It maps daily balance, fees, margin, risk, interest, fee rebates, deposits, and profit to source records. It also defines daily returns, cumulative and annualized returns, net value, drawdown, Sharpe and Sortino ratios, trading days, winning days, win rate, turnover in contracts, and long- and short-side profit.

For portfolio views, account or strategy values are combined using normalized configuration weights. Strategy-level calculations distinguish realized trade profit from open-position profit and account for fees and rebates; the reference also describes average win/loss ratio and holding-duration profit. This is a metric-definition guide rather than a trading method or empirical study, and it reports no strategy results. Some stated formulas appear internally inconsistent, especially the strategy net-value steps, which describe balance-based returns and then compound one plus those returns. Users should confirm conventions, treatment of deposits, and weighting behavior against the platform’s actual implementation before comparing results.

Key ideas

• Daily account profit incorporates trading profit, interest, fee rebates, and fees.
• Returns and risk measures are derived from daily returns, including net value, drawdown, Sharpe ratio, and Sortino ratio.
• Long and short profit separates closed trades from open positions using trade and position records.
• Portfolio metrics combine component accounts or strategies using normalized configuration weights.
• The strategy net-value description appears ambiguous, so its return and balance conventions need verification.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.