How to Compute the Percentage Return on a Leveraged Futures Trade?

Discussion in 'Trading' started by BSD82, Nov 21, 2006.

  1. BSD82

    BSD82

    Does anyone know the formula? Could you post an example as well?
     
  2. gnome

    gnome

    Could be calculated a few different ways...

    1. % on face value of contract
    2. % on total equity in your account
    3. % on minimum margin

    It occurred to me that someone who would ask this question perhaps shouldn't be trading futures at all....
     
  3. % return on an individual trade:

    outlayed capital = # contracts * margin

    gain or loss = (point value * # contracts * + or - point change ) -(slippage + commission)

    % return = (+- loss or gain ) / outlayed capital *100

    Its probably better to put your return in terms of your total capital, and your individual returns in terms of dollars risked for information purposes

    instead of outlayed capital, use dollars risked = % of total capital risked / (pointvalue * volatility)

    % return = (+-gain or loss) / dollars risked *100
     
  4. Are you asking for the formulas for compounding rates of return? I use an annually compounding annual growth rate, a instantaneous compounding annual growth rate, and cumulative annual growth rate. They all have different formulas.
     
  5. BSD82

    BSD82

    Hook N. Sinker,

    I am looking for the formula to compute % return on an individual leveraged futures trade.

    Example:

    Trade:
    Buy 1 ESZ06 at 1405.00
    Sell 1 ESZ06 at 1410.00

    Profit 5pts = $250

    Account Equity at purchase: $100,000

    initial Margin: $3938
    maintenance Margin: $3150

    Interest Rate: 2.5%

    What would be the formula for leverage % return for this trade?