Decision Calculations

Overview of the calculations used by decision recipes to determine position value.

Rate of Return Calculation

Rate of return is always calculated as max profit / max loss for all position types, where max loss is defined as the theoretical risk less any premium received.

Assume a credit spread where strike width = $2.00 and credit = $0.50, then

Max profit = 0.5
Max risk = 2.00 - 0.5 = 1.5

Rate of return = 0.5 / 1.5 = 33%

% Premium Calculation

The formula for % premium increase/decreased is:

$$change_{percent} = \frac {change} {price_{open}}$$

where$change_{percent}$is equal to the net change in position value divided by the openPrice of the position, defined as:

let {openPrice, markClose} = position;
let change = markClose - openPrice;
let changePct = change / openPrice * 100;

The definition for markClose calculations of individual position types can be found here.

Return % Calculation

let {priceChange, openPrice} = position;
let returnPct = priceChange && openPrice ? priceChange / openPrice : 0;

//where priceChange = position.currentPrice - position.openPrice;

Percentage return measures the percentage gain or loss on an asset or portfolio relative to its starting value.

In the example above, the investor earned a $1,250 total dollar return on a $5,000 investment. To calculate the total return in percentage, simply divide the total gains ($1,250) by the starting value ($5,000) = 25%.

Total percent return can be a better indicator of return on investment because it shows growth relative to the initial investment.

Total P/L

The sum of open and closed P/L.

Total P/L %

The total P/L divided by the bot allocation.

Day P/L

The current intraday total P/L minus the previous days closing P/L value or $0 if no previous day.

Day P/L %

The day P/L divided by the previous day's closing net liquid or bot allocation if no previous day.

Closed P/L

The bot's P/L for all closed positions.

Win Rate

The bot's percentage of winning trades. Win Rate (win%) = number of wins divided by total number of closed trades.