Market Measures

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Market Measures

We often use average P/L to analyze performance of strategies. Today, we look at profit in terms of percent of credit.

Study:
  • SPY, IWM, TLT, EEM, 2005 to Present
  • Every trading day sold closest to 45 DTE
  • Divided each P/L by its initial credit and averaged the percentages
Results
  • Average profit was between 10%-21% of credit collected

We can us this information in building estimates of what we may profit on average.

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