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looking for historical margin

Posted: Fri Jan 14, 2011 3:58 pm
by michaelt
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?


Posted: Fri Jan 14, 2011 4:29 pm
by sluggo
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.

Posted: Fri Jan 14, 2011 5:02 pm
by michaelt
I tried that... but will try again.
Thanks for the tip.

Posted: Fri Jan 14, 2011 6:16 pm
by sluggo
An old post

Posted: Mon Jan 17, 2011 11:17 am
by michaelt
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.