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Portfolio Performance Indicators in Binance Futures Copy Trading
2023-08-22 04:14
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On the copy trading portfolio details page, you can view details of your portfolio’s performance.
Indicator
Description
Return on Investment (ROI)
A ratio or percentage that reflects the profitability or efficiency of the portfolio.
PNL
Realized + Unrealized Profit/Loss
*Realized Profit (Portfolio Level) = Total Realized PNL for Positions - Total Fees (funding fee, trading fee, and insurance clear fee, etc.)
Sharpe Ratio
Measures the return of a portfolio compared to its risk. The greater the Sharpe Ratio value, the more attractive the risk-adjusted return on the portfolio.
Maximum Drawdown (MDD)
The maximum observed loss from the peak to the trough in the asset curve over a specific period.
Win Rate
Number of Profitable Closed Positions / Total Number of Positions * 100%
Note: When a position is completely closed after the order is executed, it counts as a single closed position. If the order is partially closed, it doesn't count as a closed position.
Win Positions and Total Positions
The number of profitable closed positions and the total number of positions
Assets Under Management (AUM)
Lead Trader's Portfolio Investment Amount + Total Copy Trading Investment Amount
Leading Margin Balance
Wallet Balance + Unrealized Profit/Loss.
Runtime
Time period since the portfolio was created.
Please note that the ROI and PNL data will be updated every 10 minutes.
Top 5 portfolios with the highest ROI at a specific MDD level
Whale Manager
Top 5 portfolios with the highest ROI at a specific AUM level
Solid Growth
Top 10 portfolios with the highest Sharpe Ratio
How to calculate ROI and PNL?
Return on Investment (ROI) reflects the profitability or efficiency of a portfolio. It is calculated similarly to the yield rate (net asset value), which prevents the changes in capital (e.g., deposits and withdrawals).
ROI = (Net Asset Value Today - Initial Net Asset Value) * 100%
A Portfolio’s Cumulative PNL = Current Margin Balance - Initial Amount - Accumulated Deposit Amount + Accumulated Withdrawal Amount
When a portfolio is created, the initial net asset value is 1. When a deposit or withdrawal happens, the net asset value will be immediately updated. In the following formulas, "T" represents the time after a deposit/withdrawal, while "T - 1" represents the time before a deposit/withdrawal.
After a deposit:
T Net Asset Value = (T Margin Balance - Deposit Amount) / (T - 1) Margin Balance * (T - 1) Net Asset Value
After a withdrawal:
T Net Asset Value = (T Margin Balance + Withdrawal Amount) / (T - 1) Margin Balance * (T - 1) Net Asset Value
No deposits/withdrawals:
Net Asset Value Today = Margin Balance Today / Initial Margin Balance * Initial Net Asset Value
Day 1
Day 2
Day 3
Day 4
Day 5
Day 6
Day 7
Margin Balance
500
400
1,400
1,550
750
250
600
Portfolio Daily PNL
0
-100
0
+150
-800
0
+350
Deposit
-
-
1,000
-
-
-
-
Withdrawal
-
-
-
-
-
500
-
Net Asset Value
1
0.8
0.8
0.886
0.429
0.429
1.0296
ROI
0%
-20%
-20%
-11.4%
-57.1%
-57.1%
+2.96%
Note: ROI has its limitations. For example, when comparing two different trades, the ROI calculation doesn't factor in the time cost.
How to calculate the Sharpe Ratio?
The Sharpe Ratio is calculated as follows:
For example:
Daily ROI
Mean of Daily ROI
Standard Deviation of Portfolio ROI
Annualized Sharpe Ratio
Day 1
0%
0%
-
-
Day 2
50%
25%
0.35
13.51
Day 3
-2%
16%
0.29
10.38
Day 4
-8%
10%
0.27
7.11
Notes:
Risk free rate = 0%;
The Sharpe Ratio will be updated every 12 hours, at 01:00 and 13:00 (UTC);
The Sharpe Ratio displayed on the portfolio refers to the annualized sharpe ratio;
The value will not be displayed if the portfolio has been trading for less than 30 days.
How to calculate MDD?
Maximum Drawdown (MDD) refers to the maximum observed loss in net asset value from a highest point (a peak) to the lowest point that occurs after it during a specific period. The higher the MDD, the higher the risk.
Note: MDD can only measure the size of the largest loss a portfolio has experienced, but it doesn’t consider the frequency of large losses, indicate how long it takes for the portfolio to recover from a loss, or indicate whether the portfolio has already recovered.
MDD = (M - N) / M * 100%
M represents the peak net asset value within the period.
N represents the trough net asset value that occurs after the peak within the period.
How to calculate the Win Rate?
Number of Profitable Closed Positions / Total Number of Positions * 100%
Note:
When a position is completely closed after the order is executed, it counts as a single closed position.
If the order is partially closed, it doesn't count as a closed position.
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