Realistic per futures contract per trade profitability

[rwk]

Quote from logic_man:
Well, when I posted the thread, I was hoping some of the better posters would chime in with their own experience. There's been some food for thought provided and that's about all I expected could happen. I happen to think the question of capital productivity is paramount. If your capital can't earn a return above its opportunity cost, you may as well be doing something else with it, after all.

If you're talking about capital productivity, alternative investments, and what is possible, I suppose the most important number would be return on invested capital (ROIC), possible risk-adjusted, over time. I agree that it helps to know what is reasonable, as the sports analogy shows. But it is also important to keep in mind that trading involves a lot of chance, probably much more than in sports. Determining how much of a trader's performance is due to chance and how much to skill is very difficult. If it were easy, money managers would have much better records than they do.

"Average trade" is a good metric for comparing two similar systems, such as a system with and without optimization. But it is useless for evaluating dissimilar systems. Same with "total profit", the newbies' favorite.

 

[bwolinsky]

Quote from logic_man:

Well, when I posted the thread, I was hoping some of the better posters would chime in with their own experience. There's been some food for thought provided and that's about all I expected could happen. I happen to think the question of capital productivity is paramount. If your capital can't earn a return above its opportunity cost, you may as well be doing something else with it, after all.

There is no opportunity cost in trading. Since you can make sooo much money trading, the consideration to menial employment is not a factor. The excess rfr is also not applicable since it is too low. About the 3 month or six month.

I think you're more afraid of whether being profitable long term is possible or not, but even still the enormous returns that are possible negates this and thus the sharpe ratio will tell you if it is worth it or not, and where the rfr is so low all return is excess to a point.