looking for historical margin

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michaelt
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looking for historical margin

Post by michaelt » Fri Jan 14, 2011 3:58 pm

Hello group,

I want to know how much portfolio margin is used over the life of the test.

Margin, contract volatility and contract value change through time. This makes the position size for any market possibly change over time.

To be accurate the margin needs to be that when the historical trade is occurring (I think). The historical margin.

Any ideas where this can be obtained?

thanks.

sluggo
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Post by sluggo » Fri Jan 14, 2011 4:29 pm

User LeapFrog posted a series of messages on this very topic. I bet you can find them with the "Search" tool at the top center of this page.

michaelt
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Location: princeton,nj

Post by michaelt » Fri Jan 14, 2011 5:02 pm

I tried that... but will try again.
Thanks for the tip.

sluggo
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Post by sluggo » Fri Jan 14, 2011 6:16 pm

An old post
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michaelt
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Post by michaelt » Mon Jan 17, 2011 11:17 am

Thanks very much Sluggo. I downloaded the files.

I am working on an approach to guesstimate margin on an historical basis based on contract value and volatility.

I haven't worked out the details, so I have yet to see where idea meets problem.

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