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Here's a question to the list from my trading partner...
I am looking for a way to allow my system to adjust to changes in market
volitility. Rather than base my system parameters on a 'normal trading day'
I would like to base them on a variable that changes with trading
volitility such as margin.
For example, in 1994 corn on a normal day moved above 2 cents from close to
close. During a period of 1996, it was not unusual to see this commodity
move over 15 cents in a day.
Rather than try to find a historical source of margin for a number of
commodities in my portfolio, it seems plausable I should be able to
simulate margin as a function of the trading ranges of a recent period of time.
Does anyone know how the exchanges compute margin?
How do others allow there system to adjust for changes in volitility?
Thanks for your input.
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david_wieringa@xxxxxxxxx
Scottsdale, AZ
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