Approximating historical futures margins

C

chinook

I am trying to simulate historical margin requirements. My starting point is :

Margin = 3 * AvgTrueRange(30) * BigPointValue;

where bigpointvalue is the $ worth of 1 point move in that specific futures market ( $50 for ES).

AvgTrueRange(30) is the 30 day average of true range which is closely related to daily (high-low).

This calculation is about 50% accurate from the small sample I've seen so far. Any ideas to improve it will be appreciated.

Thanks.
 
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