How the numbers are worked out
Each head exports their account’s statement from Interactive Brokers (a Flex Query) and it is published unchanged. Every figure on The Floor is then calculated in your browser from that file, by the rules below, so anyone can check them.
Paper trading: simulated accounts with no real money, so there is no slippage or market impact beyond what IBKR’s simulator applies. Returns and risk use IBKR’s closing marks; open positions also move with live prices while markets are open. Nothing here is investment advice.
Returns
How much each book has made, and how it got there.
- Return since inception
- Each day’s change in net asset value (NAV), less any deposit that day, divided by the day before’s NAV, then chained:
(1 + r₁)(1 + r₂)… − 1. A time-weighted return, so topping up an account never counts as performance. - Profit and loss
- The change in NAV over the period, less deposits, in the book’s base currency. It is after IBKR’s commissions.
- Annualised return
- The return scaled to a year of 252 trading days. Shown once a book has six months of history; before that it exaggerates.
- Best day, worst day, days up
- The largest one-day gain and loss, and the share of trading days that ended higher than they started.
Risk
How bumpy the ride has been. All from daily returns.
- Sharpe ratio
- Average daily return divided by the standard deviation of daily returns, times √252. The risk-free rate is taken as zero. Shown after 20 trading days: fewer than that and it is mostly noise.
- Sortino ratio
- Like Sharpe, but only falls count as risk: average daily return over the downside deviation, times √252.
- Volatility
- The standard deviation of daily returns, annualised by √252.
- Drawdown
- How far the book is below the highest value it has reached. Max drawdown is the deepest fall from a high; the longest drawdown counts trading days spent below a previous high.
Trading
The closed trades: how often they win, and by how much.
- Closed trades and fills
- A trade runs from the fill that opens a position to the fill that takes it back to zero, however many fills there are in between. A fill is one execution at IBKR.
- Win rate
- The share of closed trades that made money after commissions.
- Profit factor
- Total profit on winning trades divided by total loss on losing ones. Above 1 means the book makes money on its closed trades.
- Expectancy
- The average profit or loss per closed trade: what a typical trade has been worth.
- Average win and loss
- The average profit on winning trades and loss on losing ones. Read with the win rate: a low win rate can still pay if the wins are much larger.
- Average hold
- Calendar days from a trade’s first fill to its last.
- Trade P&L
- IBKR’s first-in, first-out realised P&L, which includes commissions on both legs. IBKR gives none for currency conversions, so for FX it is worked out here the same way.
Positions
What each book holds now.
- Exposure
- Position value as a share of capital, with futures at their full contract value. Gross adds longs and shorts together; net subtracts the shorts.
- Live marks
- While markets are open, each open position moves on from its IBKR close by the change in its Yahoo Finance price since that close:
live mark = IBKR mark × Yahoo now ÷ Yahoo close on the statement date. Unrealised P&L moves with it, at the statement’s exchange rates. Some exchanges are delayed by up to 15 minutes, and anything Yahoo can’t price keeps its IBKR mark. Returns, risk and the trade log use IBKR’s figures only.