Approximating historical futures margins

Discussion in 'Strategy Development' started by chinook, Dec 21, 2011.

  1. 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.