margin in testing
Posted: Fri Nov 24, 2006 4:39 pm
I would like to ask how the more experienced amongst you derive your margin figures that you use during testing. i.e. do you add maintenance margin to initial margin before you enter the margin figure into the futures dictionary? Do you merely enter the initial margin figure? This obviously has dramatic effects on results, so i thought id ask those more experienced than myself.
Ok further to this as i have had no response, i will add a little more to try and explain my thinking a little more. Trading blox derives a position size by adding up all margin commitments, and then uses the available excess equity to position size. So in reality, i cant understand how you can discount maintenance margin in your calculations to position size. i.e. Maint margin IS a financial commitment you need to meet, so as i understand it, that makes it unavailable equity to position size around. So my question is as above......should you add maint margin to initial margin and place the figure into the futures dictionary. I ask because a) ive never heard any reference to maintenance margin in testing and b) because trading blox original margin settings are that of initial margin only and c) most importantly are the dramatic effects it has on results. If you add up ALL margin commitments in terms of initial and maintenance and then place that figure into the futures dictionary it obviously has massif repercussions in terms of performance which is obviously disheartening.Im trying to ascertain whether i am missing something? cheers....
Ok further to this as i have had no response, i will add a little more to try and explain my thinking a little more. Trading blox derives a position size by adding up all margin commitments, and then uses the available excess equity to position size. So in reality, i cant understand how you can discount maintenance margin in your calculations to position size. i.e. Maint margin IS a financial commitment you need to meet, so as i understand it, that makes it unavailable equity to position size around. So my question is as above......should you add maint margin to initial margin and place the figure into the futures dictionary. I ask because a) ive never heard any reference to maintenance margin in testing and b) because trading blox original margin settings are that of initial margin only and c) most importantly are the dramatic effects it has on results. If you add up ALL margin commitments in terms of initial and maintenance and then place that figure into the futures dictionary it obviously has massif repercussions in terms of performance which is obviously disheartening.Im trying to ascertain whether i am missing something? cheers....