I launched my (first) monthly momentum strategy a week ago, so it’s very early days.

My initial plan was to only record realised P&L, but that will obviously mistate the performance, potentially for years, by only recording trades that drop out of the top x and are closed but not measure those that stay in the top x, presumably (hopefully) making the big bucks .

Now I’m wondering whether I should measure unrealised P&L also – and if so, how frequently. At the end of the month? Every day?

I’d be interested to know what others do…

Thanks in advance,

Terry