Does anyone know of a source to download historical Margins for futures/forward contracts, for example LME Copper's current margin levels are $18k+ per lot however a few years ago they were much lower (around $3k per lot).
When back testing a diversified portfolio, using todays margins across all data produces inaccuraces to actual margin available in the past.
I realise SPAN margining complicates this more as some positions offset others, however I figure one could just try to create a rough idea of historical margin to equity ratios by using the exchanges out right margin figures, without the complicated offsetting (SPAN).
I appreciate any of your thoughts, comments and suggestions.
Managing Margin to Equity Issues
If such data is available, would it be possible to hook it up to Tradingblox, so that it dynamically updates margin information during simulation?
The whole margining issue can get ridiculously complicated for backtesting purposes, so looking only for the statistical edge is very tempting....futures margins, long stock margin trading, short stock margin etc etc... it's amazing to see one word used in many different contexts!
The whole margining issue can get ridiculously complicated for backtesting purposes, so looking only for the statistical edge is very tempting....futures margins, long stock margin trading, short stock margin etc etc... it's amazing to see one word used in many different contexts!