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Category
Strategy Elements
Description
Per-contract cash collateral (margin) required to hold a futures, FX, or crypto position
Input
Formula specifying dollars per contract of required collateral
Notes
Collateral was formerly named FuturesMargin, which is still accepted as an alias.
Collateral is the cash per contract that a broker requires in order to hold a position in an instrument that is traded on margin rather than paid for in full -- typically futures, FX, and crypto. Such a position never "uses margin" in the sense of borrowing funds from the broker; the collateral is simply cash that must be set aside to hold the position.
Brokers typically do not pay interest on the cash used as collateral and do not allow a position to be opened if there is insufficient cash to cover the requirement.
The presence of a Collateral formula in a strategy also acts as a switch that changes how free cash is calculated for that strategy. When a position is collateralized, only the collateral (contracts × Collateral) ties up cash, rather than the full notional value. Just as important, a short collateralized position does not add its sale proceeds to free cash -- unlike a short stock position, whose proceeds increase free cash. This in turn affects the MinFreeCash constraint, CashIntPct interest, and the S.FreeCash and S.Collateral statistics.
Historical data typically does not include historical margin/collateral requirements. Norgate provides current futures margins, which RealTest imports and stores in InfoMargin. Users of other data sources can provide current requirements in their SymInfoFile if desired.
If Collateral is not specified in a strategy then InfoMargin is used by default. Provide a Collateral formula if you want to model approximate historical requirements, e.g. based on ATR.
If a strategy does not provide Collateral and a symbol does not have a value for InfoMargin then RealTest treats that symbol as an ordinary, fully-paid instrument for CashIntPct and MinFreeCash purposes.
The total collateral in effect on each date of a test can be accessed via the S.Collateral stats array.
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