HiWhat would be a good way to calculate the Sharpe ratio for a intraday futures strategy My doubts How do we calculate the rate of return ? I am not paying the full notional amount , just a margin( which varies depending to the clearing firm ) and when i trade intraday i am really not investing anything

I would approach it this way: The denominator of the returns calculation should be the amount you are keeping aside to meet the losses that might occur from your futures position, including the deposit margin. This should be at a level such that if losses reach this level then you would close your position and your loss would be no greater than 100%. The amount you are keeping aside would be earning risk free and highly liquid so that you can use it for margin calls. If you assume too litttle is held aside then if it was real life you would be bust and if you hold too much you would lower your return. E.g. if you have stop loss triggers than you could use that as the maximum value at risk as the demominator of your return calculation.