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I am trying to test some strategies in the forex market and model
the Commission which is a constant PIP spread between the buy and
sell price.
1. All the data sources give the Sell price as the data feed.
Therefore the Buy price is the Sell price plus the Pip spread.
Here is an example: for a constant pip spread of 5 pips, the price
on your chart is 1.2500, so to buy it you pay 1.2505. lets say it
goes up to 1.2600 and you sell. Your profit is 1.2600 - 1.2505
for .0095 or 95 pips.
2. if you account for the pip spread in your buyprice and
coverprice, the calculations for profit in the backtesting is not
correct.
3. Is there a way to input a commission as ticks or pips?
4. I have been using a fixed commission which approximate the pip
spread but it would be nice to use the actual value.
5. another complication is that the Pip spread varies for each
currency pair and the value of each Pip is different for each
currency pair.
6. The only way I see to fix this is to modify Amibroker to provide
another commission type called "tick" and to provide a field in the
stock information screen to put the commission tick spread.
Thanks for any suggestions.
Byron
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