As a follow up question to this question
How to take into account of transaction cost in return and Sharpe Ratio?
I am thinking that if I need to take into account of transaction cost, and suppose I am trading a future contract where each point is worth 10 USD. Then the calculation of return will become $$Return = trade\;side \times \frac{(10 \times executed\;price - 10\times cost\;price - 2\times transaction\;cost)}{10 \times cost\;price}$$
Transaction cost is multiplied by two because of two-way trades, one to open position and one to close position. Is this return formula correct?
What if I only need to post the initial margin for open a position in the future contract instead of paying the full notional amount ?
Say I only need to post 15% of contract notional amount as initial margin, then would the return formula beceomes the following? (Assume each point of the future contract is worth 10 USD) Is this return formula correct?
$$Return = trade\;side \times \frac{(10 \times executed\;price - 10\times cost\;price - 2\times transaction\;cost)}{10 \times cost\;price \times 0.15}$$
