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log long return is log((exitprice-fees)/entryprice) without leverage.

log short return is the negative long return.

So, from the above I would get

short return = log(entryprice/(exitprice-fees)). Which doesn't make sence.

So, should it be log(entryprice/(exitprice+fees)) or log((entryprice-fees)/exitprice) ?

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If you are short you need to use log((entryprice-fees)/exitprice). It is the same logic as in log long return case. You just need to change your entryprice and exitprice inputs. In this case, entryprice is the selling operation and exitprice will be the buying operation (just the opposite).

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  • $\begingroup$ Quick question. If we just ignore fees, then it becomes log(entryprice/exitprice). If exitprice = (1/100)*entryprice, then it's log(100). Does this possible in short-selling? $\endgroup$ Sep 27, 2021 at 12:10

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