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Primary issue is not being confident that my code calulates profit correctly
Secondary problem is the disappearence of JPY
Plus I'm not real sure about what PointValue does (yeah, I've read the
docs many times) - it's not intuitive
Obviously this thread only aimed at those who trade forex..
Marcin, if you're out there I'm still hanging for a look at your article ..
cstrader232 wrote:
> I'm not sure what problem you're having...
>
> ----- Original Message -----
> *From:* Grant Noble <mailto:gruntus@xxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> *Sent:* Thursday, June 01, 2006 8:39 PM
> *Subject:* Re: [amibroker] Forex AA settings - help me..
>
> 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>*
> >
> >
> >
> >
> >
> >
> > Please note that this group is for discussion between users only.
> >
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> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
>
>
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