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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
Can you help answer these questions from other members on NexusFi?