Plotting returns on minimum margin

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OEXTrader
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Plotting returns on minimum margin

Post by OEXTrader » Wed Jan 18, 2012 12:57 pm

It probably a dumb question and I am a little confused with what I'm trying to do. CAGR doesnt take margin calls/variation margin into account. So if I want to plot the mark-to-market return of a system, but over the mimimum amount needed to play a single contract, is this simply plotting the IRR?
For example, over the life of a position, suppose you start out with the initial margin requirement. A couple of days later you are on the losing side and must post a variation margin. Later on the position gains, and you withdraw the amount of the previously posted variation margin, to reallocate it to a different system. Later on you close the position.
I guess I'm looking for some mark to market money weighted return metric using variable collateral, to account for a more efficient use of capital.

sluggo
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Post by sluggo » Wed Jan 18, 2012 3:11 pm

There are some older threads here on the Forum, where members attempt to account for the fact that margin requirements change over time. They wanted to accurately backtest on historical data, using the margin requirements that were in force at the time. I think member LeapFrog was one of the leaders of the movement, you could start by searching through his posts.

OEXTrader
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Post by OEXTrader » Wed Jan 18, 2012 3:45 pm

Thank you Sluggo. I'll start digging now.

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