Would it be accurate to say some markets have inherently more volatile premiums and therefore the drawdowns allowable in a trading system should be adjusted by individual market rather than having one global rule for drawdowns? For example should one market be allowed 6X initial margin excess and another allowed only 3x initial margin excess depending on past variability over the life of an average trade in a given market?

Yes but the amount of excess should be checked with backtesting and then a little more added.

For example, it was backtested and shown that 4xIM worked for the ES spread strategy from 2013 to 2018. But last week it wouldn't have worked depending on the day you entered. 5xIM would have worked where 4xIM didn't.

Have you found that 3xIM works for some commodities?

Yes but the amount of excess should be checked with backtesting and then a little more added.

For example, it was backtested and shown that 4xIM worked for the ES spread strategy from 2013 to 2018. But last week it wouldn't have worked depending on the day you entered. 5xIM would have worked where 4xIM didn't.

Have you found that 3xIM works for some commodities?

Thanks Ron. Setting risk parameters based on IM is relatively new to me so I don't have a meaningful database to share based on individual commodities. My learning curve is slower since I'm just at this part time. However, after 7 years of option selling, I've found certain markets have given me the biggest drawdowns. The biggest drawdowns came from Natural Gas, E-mini S&P 500 and the Foods and Softs, (especially Coffee). I have had the least drawdowns from T-notes, Hogs and Live Cattle.

I would like to backtest the IM on my past trades to see how the margins fluctuated prior to expiration. Do you know where I can find historical margin rates?

Ron, What's your take on the 3longs 2shorts /ES strategy in comparison with the 2longs 1shorts? Are you doing mainly just the 3-2? Or both

Dudetooth's XLS-SPAN Excel spreadsheet does that. It can be found in the PC-SPAN thread here. CME has the files needed going back to Jan 2013.

Thanks, I'll check it out. In determining the IM excess how many trades do you consider an adequate sampling for a given market?

I am only doing 2x3 because it had higher median ROI than other strategies tested.

Selling Options on Futures? Here are the results from 2 studies Win Rate = % of scenarios that have a positive return E(mROI) = average mROI Med(mROI) = median of mROI E | Loss = average mROI for losses E(DTS) = average days from acquisition to liquidation Med(DTS) …

But for this crash the 1x2 performed well. It only needed 4xIM to ride it out while the 2x3 had to have 5xIM to ride it out.