Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide

2024/11/21 by James B. Glattfelder, Glattfelder, James B., Thomas Houweling +1
Decision Sciences · Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #Stock Market Forecasting Methods #Trading and Market Microstructure (q-fin.TR)

paper · pdf · doi:10.48550/arxiv.2411.14068

openalex publication_date 2024/11/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We present a series of equations that track the total realized and unrealized profits and losses at any time, incorporating the spread. The resulting formalism is ideally suited to evaluate the performance of trading model algorithms.

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