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Ok, can the following be done in AB?
I wish back test an essentially simple
strategy that involves buying 2 negatively correlated currencies and closing
both trades (or one leg) each time a nominated +ve difference occurs between
them. i.e Buy Eur & Chf.
*Generally* both will track together so if Eur
rises 50 pips Chf will drop 50. But because the -ve correlation isn't 1, the
small diff allows the 2 to move apart. So you may have
-50 on Chf but +56 on Eur. I then close the trade
for +6.
I do this manually with success, but would like to
test over different currencies & time periods.
Any advise/code examples would be
appreciated.
cheers
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