What is the appropriate approach to calculate returns on futures spreads when backtesting, considering that margins on futures spreads are product-specific and not just a percentage of market value - rather set by the exchange using risk analysis tools? CME group provides risk array files for SPAN but only as of 2013. Does anyone know of a source of historical margins data for heavy-volume futures? Bloomberg terminal and CME group both don't have/provide it.

Thanks
Hershel

hsfutures 

What is the appropriate approach to calculate returns on futures spreads when backtesting, considering that margins on futures spreads are product-specific and not just a percentage of market value - rather set by the exchange using risk analysis tools? CME group provides risk array files for SPAN but only as of 2013. Does anyone know of a source of historical margins data for heavy-volume futures? Bloomberg terminal and CME group both don't have/provide it. Thanks Hershel

Try here, this group has some experience:

Selling Options on Futures? I have decided that it is almost impossible to predict direction of markets. So unless you think that the market is going to drop lower than the strike of your short position, keep putting positions on. Several people, me included, were worried …

Mike