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Is nobody out there backtesting forex ? I'm not after state secrets here
people, just an idea of how to proceed.. Ta, GRANT
Grant Noble wrote:
> Hi all, have been coding attempts to allow backtesting forex and have
> reached a point that I can't seem to move past.
>
> In theory it seems simple enough:
> - standard contract = 100,000xCCY1
> - a one point move in CCY2 is worth 10xCCY2 (or 1000xCCY2 if CCY2 is JPY..)
> - ticksize is 0.0001 (or 0.01 if CCY2 is JPY..)
> - margin is 2% of CCY2
>
> My code follows. I suspect it's not right but it gives pretty close
> results to hand tests. Except for JPY which is never picked up by AA
> (even if trades are picked up by Exploration).
> I'm going nuts here people - any feedback appreciated.
>
> BTW I also have questions about Forex conversions to base currency but
> Marcin has promised a KB article soon. :-)
>
> Regards, GRANT
>
> *<code>*
> if ( StrRight( Name (), 3 ) == "JPY" ) {
> TickSize = 0.01;
> PointValue = 1000;
> } else {
> TickSize = 0.0001;
> PointValue = 100000;
> }
> // FOREX settings
> SetOption( "FuturesMode", True); // use margin
> deposit and point value in calculations
> RoundLotSize = 1; // whole contracts only
> lotSize = 100000; // full contract
> 100,000 base currency
> MarginDeposit = lotSize * 0.02; // margin 2% of
> position value
> contracts = 1; // contracts to
> acquire
> SetPositionSize( contracts, spsShares ); // spsShares = size
> expressed in shares/contracts
> *</code>*
>
>
>
>
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