Percentage gain/loss for futures/forex trading
Author: fritz
Creation Date: 3/11/2010 10:00 PM
profile picture

fritz

#1
WL contains some partial support for futures and forex trading, but it was built from the start as a stock platform. One example of where this shows up is in the % win/loss column in the Trades tab. The % is calculated with a simple ExitPrice / EntryPrice formula. So e.g. if I buy S&P futures at 1000 and sell at 1100, WL says it's a 10% gain even though it's not 10% on the money I risked, and that gain may represent a 1% or 50% gain in my portfolio. The % gain/loss column, as far as I can tell, is useless for futures/forex trading, especially portfolio trading.

I don't like this, but it is what it is. I ignore the win/loss % column in the Trades tab. But it just occurred to me that the percentages on the Performance tab are also suspect. For example, I have a portfolio test that made $309k on a $1M starting value. WL correctly says this is a 30.9% gain. But it also says I had 30 trades with an average gain of 1.31%, and 1.0131^30 = 47.8% gain. (1.31% * 30 is 39.3% so it's not being calculated that way either.) So apparently the percentages on the Performance tab are also incorrect for portfolio trading, at least with futures/forex?

Or am I misunderstanding something?
profile picture

Cone

#2
The Average Profit % is the sum of all net profit percentages divided by the Position count. The average profit percentage can be different than the Net Profit %, that's why they are two different metrics on the Performance Report.

For example, if you have 2 trades for individual profit percentages of 100% and 50%, the average profit % is 75% (75% x 2 = 150%), but the net profit % is 200%.
profile picture

fritz

#3
Sorry, I don't understand your terminology.

"Average Profit %" I understand -- I assume that is the "Average Profit %" on the Performance tab.

"sum of all net profit percentages" -- clarify please? Is that equivalent to the "Net Profit %" on the portfolio test? Or is that the Net Profit % for each symbol in the portfolio, added together?

"Position count" -- is that the number of trades?

I ask because I don't see any way to combine these numbers to get the results on the Performance tab. If I can't see how they're calculated, and the calculations that make sense to me don't agree with them, then I can't use them. I don't know where they came from.
profile picture

Cone

#4
"sum of all net profit percentages" is used to determine the Avg Profit %. You can't arrive at the Net Profit % by summing the profit percentages of each trade. The Net Profit % is the net profit (dollar terms) divided by the Starting capital x 100.

See User Guide: Preferences > Performance Visualizers > Performance