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Need help calculating Daily NAV, 3 trade example
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Need help calculating Daily NAV, 3 trade example

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Trading Apprentice
Miami Florida United States
Futures Experience: Intermediate
Platform: NinjaTrader
Favorite Futures: 6E
Posts: 1 since Feb 2013
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Need help calculating Daily NAV, 3 trade example

Hi -

I guess I don't need my NAV, what I need is my ROI (buddy told me they are not the same) for my algo.

I trade 6E and never have overlapping trades in 1 day.

My broker requires a margin of $1237.50 per contract.

My system only makes 1 trade at a time (no overlap). I also know what the maximum I can lose on any given trade when the trade is initiated via the stop loss order I place (this can be a different amount for each trade)

Commissions come out to $2.91 per contract each way (both buy and sell). Each tick that 6E moves is worth $12.50 per contract traded (trading 6E).

I adjust the number of contracts per trade using a simple risk calculation which I won’t bother going into, but just know it fluctuates between trades based on balance, risk factor (10%) and max loss size. I know 10% is overly aggressive most futures traders use a number of 1-5% and I am playing around with a few different models, but for this example, # of contracts is using a risk factor of 10%.

So here is an example where I am trying to calculate my ROI for 1 day:

All 3 trades occur in the same day

Starting balance = $6,000.00
Trade 1: SELL 3 6E @126.58 -- MAX LOSS = 16 ticks x $12.50 per tick x 3 contracts = $600 | margin required = $3712.50 = (1237.5 x 3)
Result: BUY 3 6E @126.41 -- gained 17 ticks x 3 contracts or 51 total ticks
Gross: ((3x126.58 – 3x126.41) / 0.01) x 12.50 = $637.50
Commissions: 3 x 2 x $(2.91) = $(17.46)
PNL: = $620.04
Ending balance = $6,620.04

Starting balance = $6,620.04
Trade 2: BUY 2 6E @126.34 -- MAX LOSS = 19 ticks x $12.50 per tick x 3 contracts = $475 | margin required = $2475.00 = (1237.5 x 2)
Result: SELL 2 6E @126.21 -- lost 13 ticks x 2 contracts or (26) total ticks
Gross: ((2x126.21 – 2x126.34) / 0.01) x 12.50 = $(325.00)
Commissions: 2 x 2 x $(2.91) = $(11.64)
PNL: = $(336.64)
Ending balance = $6,283.40

Starting balance = $6,283.40
Trade 3: SELL 3 6E @126.08 -- MAX LOSS = 16 ticks x $12.50 per tick x 3 contracts = $600 | margin required = $3712.50
Result: BUY 3 6E @125.92 -- gained 16 ticks x 3 contracts or 48 total ticks
Gross: ((3x126.08 – 3x125.92) / 0.01) x 12.50 = $600
Commissions: 3 x 2 x $(2.91) = $(17.46)
PNL: = $582.54
Ending balance = $6,865.94

Ok so my PNL on the day is simply: ($6,865.94 - $6,000.00) = +865.94 -- overall gained 73 ticks

So now I need to calculate my ROI for the day, I have the numerator = ($6,865.94 - $6,000.00) = $865.94 = PNL below
So now I need to figure out the denominator. I figure there are 4 different ways to go about this:

A. PNL / SUM ( margin )
B. PNL / (SUM ( margin ) + SUM ( max loss ))
C. PNL / (MAX ( margin ) + SUM ( max loss ))
D. PNL / SUM ( max loss )

Here are the different results:

A. 865.94 / (9900) = 8.7469%
B. 865.94 / (9900 + 1675) = 7.4811%
C. 865.94 / (3712.50 + 1675) = 16.073%
D. 865.94 / (1675) = 51.698%

I’m leaning towards C, but would happily be surprised if D was true since the margin is not really at risk, well I guess it is if the broker fails to place my initial stop loss order in their system but that is highly unlikely.

The whole reason I am trying to do this is to eventually calculate my Sharpe's but I needed to start somewhere.

Last edited by nycgags; April 15th, 2013 at 01:06 PM.
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