CME was kind enough to put together a package of historical margin requirements for futures contracts from multiple groups. These groups include: stock indices, currencies, grains, metals, energy, and ST & LT interest rates. I've attached the documents they forwarded me. The history goes back as far as year 2000 (except for the S & P) and the guy at the CME said this was all the information he has. He can include 2008 and 2009 at our request. But I thought this was a good start to begin building synthetic margin requirements using regression as sluggo mentioned in this thread.
Also, I will be putting these docs in a more user-friendly Excel format and will post those when I am finished.
Discussions about the testing and simulation of mechanical trading systems using historical data and other methods. Trading Blox Customers should post Trading Blox specific questions in the Customer Support forum.
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- Major Product History.doc
- Currencies, Stock Indices, Grains, Interest Rates
- (781.76 KiB) Downloaded 624 times
- Nymex Margins 2000-2008.xls
- Energy, Metals
- (623.5 KiB) Downloaded 713 times
- S&P 500-Complete history-1982-2009.xls
- S & P 500, Complete History
- (35.5 KiB) Downloaded 572 times