What is the industry standard way to calculate returns, which will be used to calculate sharpe ratio for e-mini S&P500?
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There's no industry standard for calculating returns on derivative contracts. The reason is that derivative contract assets are different from what I'll call real assets. Examples of real assets are an ounce of gold, or an equity. Derivatives require you to invest, or allocate some amount of cash (i.e. margin), to accommodate losses. But this allocation is basically arbitrary, and depends on what amount of loss you can withstand before you unwind your contract. For more discussion on this topic, read Meucci's Return Calculations for Leveraged Securities and Portfolios.
