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.
michaelt
Senior Member
Posts: 37 Joined: Wed Feb 03, 2010 10:53 am
Location: princeton,nj
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
Roundtable Knight
Posts: 2987 Joined: Fri Jun 11, 2004 2:50 pm
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
Senior Member
Posts: 37 Joined: Wed Feb 03, 2010 10:53 am
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
Roundtable Knight
Posts: 2987 Joined: Fri Jun 11, 2004 2:50 pm
Post
by sluggo » Fri Jan 14, 2011 6:16 pm
An old post
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michaelt
Senior Member
Posts: 37 Joined: Wed Feb 03, 2010 10:53 am
Location: princeton,nj
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.