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Quantitative Finance

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    $\begingroup$ Yes. you are correct. But what will you be doing or saying about the result? $\endgroup$ Commented May 23, 2022 at 15:48
  • $\begingroup$ @RalphWinters I have different portfolios with different weights to compare them later. What about part 2? Do you have any idea about the correct way of calculating this portfolio's log(return)? $\endgroup$ Commented May 23, 2022 at 16:04
  • $\begingroup$ Your example shows you made 5 trades on one day so that is your return for the day. What is the purpose of the weighting after the trades? $\endgroup$ Commented May 23, 2022 at 17:07
  • $\begingroup$ @RalphWinters This is a zero net-investment strategy. I'm just showing one leg here. $\endgroup$ Commented May 23, 2022 at 17:21