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> Dividing current account balance by the margin
> requirement for the contract being tested will not
> produce results that emulate Stridsman's percentage
> based measures because the position size is not being
> regulated by the level of the market
You had the right idea but changes in historical margin requirements
aren't generally available. Volatility, average true range, etc., are a
good proxy for margin (they are used to adjust margin requirements) and
they can be calculated from the price data both historically and
realtime. They can also be useful for stocks as well as futures. Base
your trading size, at least in backtesting, on constant dollar risk
(volatility) rather than constant dollar price.
--
Dennis
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