This is the type of thing I was pointing to in this thread Adjusting Futures Returns for Margin
When you said:
“Adjusting futures returns for margin as a way of comparing strategies is a pointless exercise because it completely misses the most important point, which is how much gain you’re getting per unit of risk.”
I can understand your previous point being all about risk. However, now it seems you are trying to do something similar to what I was saying. I think your current question is very valid and I think it is important to analyze each strategy to see “if the performance of this strategy is due almost completely due to leverage, rather than a true edge.”
