How to Calculate Futures Account, Strategy, and Portfolio Performance Metrics
Summary
This reference explains how a futures trading platform derives performance measures for individual accounts, weighted account portfolios, individual strategies, and weighted strategy portfolios. It maps daily statements and transaction details to measures such as equity, fees, interest, realized and open profit, deposits, daily returns, net value, drawdown, annualized return, Sharpe ratio, and win rate. It also describes splitting profit and trade volume by long and short positions, and defines portfolio weighting as each component’s allocation divided by the total allocation.
The document is a calculation glossary, not a trading strategy or empirical study. It gives no sample dataset or numerical worked example, so users cannot verify the calculations from the text alone. Some definitions are repeated, and the described strategy net-value steps appear potentially ambiguous about converting cumulative balance into daily returns. Readers implementing the metrics should confirm conventions for cash flows, fee treatment, return denominators, and portfolio aggregation against the platform’s data model and their reporting needs.
Key ideas
- Account daily profit includes trading profit, interest, fee rebates, and fees according to the stated convention.
- Account returns use prior-day equity as the denominator, while net value compounds daily returns.
- Portfolio account and strategy metrics are aggregated using normalized allocation weights.
- Win rate is derived from transaction-level outcomes, while open and closed profit are tracked separately.
- The glossary supplies no worked examples and some formulas need implementation-specific interpretation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.