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For my Master Thesis I need to calculate the mean returns of different
signals on 27 different futures.
The margins vary from $1.080 till $22.500. Now I like that if the
$1.080 symbol gets a buy signal that $22.500/1.080 = 20 (rounded below)
contracts are bought. I really don't get this done.
The problem now is that a 1% change in the $22.500 contract has much
more influence on the results than a 1% change in the $1.080 contract.
Hope someone knows how to solve this problem.
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