Tuesday, March 6, 2018

Appropriate method for calculating negative returns on a trading strategy?


I have a cumulative profit/loss time series below for a trading strategy, what is the appropriate way to calculate the returns in percentage for such a series?



My issue is the appropriate calculation for when the strategy becomes negative and going forward. I can't take log of a negative number and I am not sure if the arithmetic calculation is appropriate. I would appreciate any suggestions. I am using matlab. Thanks


 1.0e+003 *

5.2735
4.3922
3.1878
3.6250
3.6982
5.3774
5.5748

5.0108
1.0355
-2.4639
-4.6589
-4.2990
-3.8678
-3.1051
-4.5356
-4.8130
-8.9671

-9.0438
-7.2986
-7.1849


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