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Re: [amibroker] Forex Backtesting Settings For non-USD denominated



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Hello,

> Is PointValue just Lot size ?
Not true for all different instruments but for major forex pairs that would be true.

It is in fact simple: The PointValue represents PROFIT you gain on long position
when price changes by 1.

So in other words PointValue in forex is a (profit per pip) divided by (pip).

This is so because formula for long profit is:

Profit = NumberOfContracts * PointValue * ( SellPrice - BuyPrice );

So assuming you trade 1 lot forex, EURUSD and and difference between buy and sell price is one pip:

Profit = 1 * 100000 * 0.0001 = $10.

And it is already explained in http://www.amibroker.com/kb/2006/08/09/amibroker-for-forex/

Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message ----- 
From: "Grant Noble" <gruntus@xxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, August 14, 2007 2:05 AM
Subject: Re: [amibroker] Forex Backtesting Settings For non-USD denominated


> Thanks for that Tomasz. Could you please add this to the KB article for future reference ?
> http://www.amibroker.com/kb/2006/08/09/amibroker-for-forex/
> 
> It still doesn't make much sense to me however. Could you direct me to the Tradestation docs?
> Are you saying that PointValue = PipValue * 10,000 ? I'm sorry, I just don't get it..
> If you were trading lots of 1,000 CCY1 what would PointValue be then?
> Is PointValue just Lot size ?
> Any clarification appreciated. GRANT
> 
> Tomasz Janeczko wrote:
>> Hello,
>> 
>> PointValue in AmiBroker is equivalent to Tradestation's BigPointValue.
>> It means that it is the value of 1-unit move. So Point Value for EURUSD would be 100000.
>> This is so because pip (0.0001 of unit) is worth $10.
>> This is what you will gain if price moved 10000 pips.
>> 
>> For non-US symbols like for example EURPLN it is also 100000.
>> 
>> Best regards,
>> Tomasz Janeczko
>> amibroker.com
>> ----- Original Message ----- 
>> From: "Grant Noble" <gruntus@xxxxxxxxxxx>
>> To: <amibroker@xxxxxxxxxxxxxxx>
>> Sent: Sunday, July 08, 2007 10:09 AM
>> Subject: Re: [amibroker] Forex Backtesting Settings For non-USD denominated
>> 
>> 
>>> Most pairs have Ticksize = 0.0001. JPY is the only major to use 0.01 (some minors do too).
>>> Pairs typically trade in lots of 100000 of CCY1 (eg. for EURJPY it would be E100000)
>>> MarginDeposit is frequently 1% or 2% of lot size but this varies from broker to broker. Often it is 
>>> further reduced if stops are used.
>>> Pointvalue as it is used in AB was always a mystery to me given that the value of one pip of price 
>>> movement is typically a multiple of CCY2 (eg. for AUDUSD it would be US$10; for EURJPY it would be 
>>> JPY1000). Hope this helps. G
>>>
>>> evan_rhee wrote:
>>>> What're the margin deposit and point value for say, USDJPY, and EURJPY?
>>>> I know for USD-denominated, it's 1000/100000 with 1 and 0.0001 for lot
>>>> and tick. But for JPY tick size is 0.01, so I'm just wondering how the
>>>> other two adjust.
>>>>
>>>> I've read the other article btw.
>>>>
>>>>
>>>>
>>>> Please note that this group is for discussion between users only.
>>>>
>>>> To get support from AmiBroker please send an e-mail directly to 
>>>> SUPPORT {at} amibroker.com
>>>>
>>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>>> http://www.amibroker.com/devlog/
>>>>
>>>> For other support material please check also:
>>>> http://www.amibroker.com/support.html
>>>>  
>>>> Yahoo! Groups Links
>>>>
>>>>
>>>>
>>>>
>>>>
>>>
>>>
>>> Please note that this group is for discussion between users only.
>>>
>>> To get support from AmiBroker please send an e-mail directly to 
>>> SUPPORT {at} amibroker.com
>>>
>>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>>> http://www.amibroker.com/devlog/
>>>
>>> For other support material please check also:
>>> http://www.amibroker.com/support.html
>>>
>>> Yahoo! Groups Links
>>>
>>>
>>>
>>>
>>>
>> 
>> 
>> Please note that this group is for discussion between users only.
>> 
>> To get support from AmiBroker please send an e-mail directly to 
>> SUPPORT {at} amibroker.com
>> 
>> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
>> http://www.amibroker.com/devlog/
>> 
>> For other support material please check also:
>> http://www.amibroker.com/support.html
>>  
>> Yahoo! Groups Links
>> 
>> 
>> 
>> 
>> 
> 
> 
> Please note that this group is for discussion between users only.
> 
> To get support from AmiBroker please send an e-mail directly to 
> SUPPORT {at} amibroker.com
> 
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
> 
> Yahoo! Groups Links
> 
> 
> 
> 
>


Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to 
SUPPORT {at} amibroker.com

For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html
 
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