The monthly PnL% is 6.5316%, determined iteratively, ie. in a for loop for the 21 days of the month. Then one can apply the said compound interest formula.
Maybe … What you iterate is 0.3% per day over 21 days. But your strategy doesn’t deliver 0.3% per day. More like 0.24% if S1 ( (1.015 * 0.99) ^ (1/2) - 1) Which means 83% per year ( 1.0024 ^ 252 - 1 )
@Sekiyo, no need to calculate the daily rate; just use the monthly rate for 12 periods, ie: PnL% = 100 * (1 + 6.5316 / 100)^12 - 100 = +113.67% For the first and last "100" (bold above), one can take the StartCapital. In above calc it simply is $100.
1.015 * 0.99 - 1 It’s 0.485% 1.00485 ^ (1/2) - 1 In average, per day it’s 0.242% 1.00242206679 ^ 21 - 1 Monthly it’s 5.21% 1.00242206679 ^ 252 - 1 Yearly it’s 83.97% That’s my last words Should have been my 1st ones. Sorry for all the fluff
It's a little bit complicated as well tricky b/c the last day of the month (ie. the 21th trading day) is a win day, and the next trading day (ie. the first trading day of the next month) is again a win day... So, it's not easy to calculate from the monthly result the daily PnL%. Rather one can do it only from the end result...: 1d: 0.30174705107432565300 Yes, you right above: it*s 0.3% per day. 2d: 0.60440461497697182400
This is all fine and good. But does it help you predict where the price of your instrument is going TOMORROW? That is what it important for the day trader, yes?
With spread-like constructs one is as a daytrader not really bound to the day anymore... One can hold it longer since a loss is automatically capped by the intrinsics of the spread options itself.