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. You have to standardize the returns to the risk/volatility. Standardizing is the only way to compare performance.
This can be expressed in many variations, e.g. average annual return/average annual drawdown, Sortino ratio, Tail ratio, Information ratio, etc. Pick whichever you like best.
The size of the returns on its own isn’t useful performance information. To use the OP’s original question…his example trade leader may have made a smaller return than the S&P over the same period but if his Sharpe ratio outperformed the S&P then his strategy is still a better investment.
Once you’ve internalized that it’s all about how much return bang you get for your risk buck, and you’ve found some strategies you like, then you do a sense check to make sure the strategy isn’t taking hidden tail risk (cough selling naked options cough).
