I would like to know a way to compute returns when the total PnL of a strategy can become negative. For example: Total PnL day 1: 100 Total PnL on day 2: -20 Total PnL on day 3: 30
I have that kind of PnL when implementing systematic selling of straddle/strangle on FX options. As I would like to perform a statistical analysis on the return series such as the Bootstrap Reality Checkof White, I need to be able to compute daily returns for each strategies. However, the fact that the PnL can become negative distort the analysis.
Any ideas ? Thanks :)