I have a 14 year backtest for a systematic strategy that uses a static notional per each position. On any given day I could have multiple positions long and short and notional long and short.
How do I standardize my returns to show the correct % return from the portfolio?
Notional per trade= 10k 20 Longs= 200k notional long 5 Shorts= 50k notional short Say I make 2k on my longs is 1% Say I lose 2k on my shorts is (4%)
How do I derive a standardized percentage return for the portfolio as a whole? What is "industry standard"?