How to calculate Margin to Equity

Trading and Investing Helping Traders
, ,
1

I am backtesting a simple commodity futures strategy with a few directional futures and some calendar spreads. I want to calculate the average Margin-to-Equity ratio for this strategy over the last 3 years. But where can I find the historical margin information?

1 Like
2

The CME posts margin’s history here: https://www.cmegroup.com/clearing/risk-management/historical-margins.html
We do not know where they post spread margin history (if they do at all), but you can look at today’s margin and see the ratio they are using and can approximate the past margin.

Thank you,
Matt Z
Optimus Futures