I am trying to simulate historical margin requirements. My starting point is : Margin = 3 * AvgTrueRange(30) * BigPointValue; where bigpointvalue is the $ worth of 1 point move in that specific futures market ( $50 for ES). AvgTrueRange(30) is the 30 day average of true range which is closely related to daily (high-low). This calculation is about 50% accurate from the small sample I've seen so far. Any ideas to improve it will be appreciated. Thanks.