This article offers an overview of key metrics in copy trading.
How to Calculate Realized PNL and Unrealized PNL?
For USDT-Margined perpetual contracts:
Realized PNL for a position = direction of the order * ( exit price - entry price) * position size
Unrealized PNL for a position = direction of the order * (mark price - entry price) * position size
*Direction of the order: 1 for long order; -1 for short order
Portfolio's Realized PNL = Cumulative Realized PNL for the positions - net funding fees - cumulative trading commission
Portfolio's unrealized PNL = Unrealized PNL of all open positions
- How are Portfolio Balance calculated?
Portfolio balance = Wallet balance = Net deposits + Portfolio's Realized PNL
- How is Portfolio Assets calculated?
Margin balance = Wallet balance + Unrealized PNL
- How to calculate MDD?
Maximum drawdown (MDD) is the most significant observed loss from a peak to a trough in a portfolio before a new peak is reached. MDD serves as an indicator of downside risk over a specific time period. The higher the MDD, the greater the associated risk.
MDD is a specific measure that identifies the most substantial drop from a high to a low point, preceding the emergence of a new peak. However, it's important to note that it only measures the magnitude of the largest loss, without considering the frequency of significant losses. As it gauges only the largest drawdown, MDD does not indicate the recovery duration after the loss or whether the investment recouped at all.
30D MDD: Portfolio's maximum drawdown in the past 30 days.
MDD calculation rule: MDD = (M-N)/M *100%
M refers to the peak value of the IOPV in the period
N refers to the trough value of the IOPV in the period
- How are ROI and PNL calculated?
Return on Investment (ROI) is a ratio or percentage value that reflects the profitability or efficiency of a trade or investment. ROI can also be used to compare different types of investments or multiple trading operations.
To provide a more accurate depiction of portfolio performance, the ROI calculation has been adjusted.
Calculating ROI with Indicative Optimized Portfolio Value (IOPV) mitigates the ROI distortion caused by deposits and withdrawals.
ROI =（IOPV at the end of the period - Initial IOPV）*100%
Total PNL = Margin Balance - Initial deposit - cumulative deposits + cumulative withdrawals
*When a portfolio is created, the initial IOPV for the portfolio is 1. If deposit or withdrawals are conducted, the IOPV will be updated immediately
T : value after deposits / withdrawals
T-1: value before any deposits / withdrawals
When adding funds:
T(IOPV) = [T(Margin Balance) - Deposit Amount)] / (T-1)(Margin Balance)*(T-1)(IOPV)
When withdraw funds:
T(IOPV) = [T(Margin Balance) + Withdrawal amount)] / (T-1)(Margin Balance)*(T-1)(IOPV)
If no deposit or withdrawal occurred：
IOPV at the end of a period = Current Margin Balance / Initial Margin Balance*Initial IOPV
Let's assume there is 1000 USDT in a leader trader's portfolio at T0. T0(IOPV) = 1. T0(ROI) = 0%.
Next, after a transaction at T1, the portfolio margin balance changes to 1200 USDT. There are no transfers in or out.
T1(IOPV)= [T(Margin Balance) - Deposit Amount+Withdrawal amount)] / (T-1)(Margin Balance)*(T-1)(IOPV) =[1200-0+0]/ 1000*1=1.2
TI(ROI) = T1(IOPV) - T0(IOPV) *100%= 1.2-1*100% = 20%
Now suppose the trader transfers 500 USDT to the portfolio and the portfolio margin balance gets to 1800 at T2.
T2(IOPV)= [T(Margin Balance) - Deposit Amount+Withdrawal amount)] / (T-1)(Margin Balance)*(T-1)(IOPV) =[1800-500+0]/ 1200*1= 1.0833
T2(ROI) = T2(IOPV) - T0(IOPV) *100%= 1.0833-1*100% = 8.33%