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i have a trading strategy that buy multiple stocks in same time and sell another time. I want to calculate return of this strategy. Below table shows my positions that opened and closed.

From above to below, i tried to calculate return but the problem is buy and sell times are not same. Because of that i dont catch cumulative series.

What can i do? What are your methods to calculate return?

    BUY DATE    BUY PRICE   SELL DATE   SELL PRICE  SYMBOL  CHANGE
53  2021-03-01  5.705842    2021-04-12  4.790000    ISCTR   -16.050947
15  2021-03-01  6.974921    2021-04-12  7.662858    ENKAI   9.863019
56  2021-04-01  3.620000    2021-05-18  3.490000    VAKBN   -3.591157
52  2021-04-01  4.440000    2021-05-18  4.360000    HALKB   -1.801800
1   2021-04-13  4.760000    2021-05-31  5.200000    AKBNK   9.243688
60  2021-04-14  2.150000    2021-06-01  2.210000    YKBNK   2.790695
48  2021-04-14  89.050003   2021-06-01  98.599998   TUPRS   10.724307
23  2021-04-14  1.960000    2021-06-01  1.860000    ISGYO   -5.102042
31  2021-04-22  40.535984   2021-06-09  47.812691   MAVI    17.951227
7   2021-04-22  12.780000   2021-06-09  13.830000   AYGAZ   8.215964
44  2021-04-22  7.270756    2021-06-09  7.230000    TKNSA   -0.560543
37  2021-04-22  63.099998   2021-06-09  83.199997   PGSUS   31.854198
25  2021-04-22  2.190000    2021-06-09  2.220000    IZMDC   1.369862
45  2021-04-26  29.360001   2021-06-10  31.620001   TOASO   7.697548
43  2021-04-26  18.700001   2021-06-10  26.340000   TAVHL   40.855610
FCTURKEY
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1 Answers1

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This answer gives a great example of time-weighted return. It is essentially the cumulative return of each distinct portfolio period, ignoring the effects of large inflows or outflows.

Another method is money-weighted return, which is essentially IRR. Some examples of that are here and here. Money-weighted return takes into account when you invested. So if you have large inflows before periods of large returns, it will show a higher return than TWR.

So use time-weighted return to see the performance of what you invested in, and money-weighted return to see the performance of your strategy overall (not just what you bought/sold, but when you bought/sold it).

D Stanley
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