Ok, I am new to futures trading and am currently in over my head on 2 contracts of ES. What my broker explained to me today is that a futures contract is mark to market - meaning, every night I make or lose money while I am holding it. So, my margin balance is going up and down every day. Here is what WL doesn't take into account: when my margin balance exceeds my limit in my account, my broker will close out my position(s) and/or do a margin call. So, perhaps there should be a setting for this in the strategy that says "If I exceed my equity in my account, close the position" or maybe an exit block? Also, maybe WL needs to add something for the mark to market per symbol to correctly compute daily profit/loss? In my case, I created a strategy that I back tested to 2008 to buy x contracts of ES at the same time every day no matter what and sell for 2 points profit. I won every trade - even though some took years to resolve! The issue is that this would never work in reality because of the above.
Rename
I tagged this a #FeatureRequest to get it into our wish list.
If you haven't already, the first step to fix your strategy is to make vote up this feature request for Dynamic Futures Margin so that your backtest on index futures makes some sort of sense with the margin that would have been applicable years ago.
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