This is something I've been thinking about for a while but I can't reach a clear conclusion. When we calculate, for example, the profit factor for a pairs trading strategy, do we treat each pairs trade as a single result or each of the separate trades on each instrument as a single result? For example, lets say we are trading 2 instruments A and B and we have the following results... A: -2, 1, 3 B: 1,-2,1 Profit factor for each trade separably -> 5/4 Profit factor for each pair added together -> 4/2 If we treat each pairs trade as a single trade we get a better result. I guess one could ask the same question of hedged options trades, what do people generally do?