Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide
Trading and Market Microstructure
2024-11-22 v1
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.
Keywords
Cite
@article{arxiv.2411.14068,
title = {Calculating Profits and Losses for Algorithmic Trading Strategies: A Short Guide},
author = {James B. Glattfelder and Thomas Houweling},
journal= {arXiv preprint arXiv:2411.14068},
year = {2024}
}