[amibroker] Portfolio backtest in forex, AmiBroker Email List Archive

Dear friends,

Before registering the mailgroup, I was quite frustated regarding the customer support for Amibroker. Now I observe that Tomasz is very busy with the new technological developements of the software and replies the related questions mostly. I appreciate his great effort and magical software.

In my recent e-mails, I believe that I emphasize an important point about forex backtesting in Amibroker. Currently, I see that it is impossible to truly backtest multiple forex pairs with the standard backtester interface. Below, I am trying to explain in detail.

- For EURUSD and XXXUSD pairs everything is OK.

- When the second unit is not USD, problem arises. I'm taking the EURJPY as my example. Brokers calculate the profit-loss of these trades in JPY (using the pointvalue * pricechange formula) and then converts to USD, using the USDJPY pair as you know.

- In Amibroker, when we set the currency as JPY and indicate USDJPY in the settings, it calculates the profit-losses correctly.

- In this case, it takes also the margin deposit scalar in JPY.

- Hence, all the traded contract quantities increase to extreme values and all the backtest becomes incorrect.

How can we (do you) overcome this hindrance?

Thanks in advance and best regards,

Ilhan

---------- Yönlendirilmiş ileti ----------
Kimden: İlhan Ketrez <ilhanketrez@xxxxxxxxx>
Tarih: 27 Haziran 2008 Cuma 15:28
Konu: Re: [amibroker] Portfolio backtest in forex
Kime: amibroker@xxxxxxxxxxxxxxx

Thanks Tomasz,

Curreny setting in the symbol information window is OK.

The settings in the Tools->Preferences->Currencies windos are also OK.

When we change the currency, the currency of the margin deposit also changes. That is the problem.

In forex accounts all of the margins are (Say) 1000 USD.

Hence, in the current situation it becomes 1000 CHF. (Small Problem, average in last years is around 1.4)

If the pair is USDJPY, it becomes 1000 JPY. (Greater problem average in last years is around 110)

As a result, almost all of the results become insignificant, starting with exposure, total profit/loss calculations.

Please note that, unit profit-loss calculation is correct. Infact everything else seem to be correct.

I understand the need for setting the margindeposit currency to the active currency to make trade in different markets.

One temporary solution can be making an approach by adjusting the position size accordingly But the real, exact solution can only be achieved by defining a seperate currency setting for the margin deposit.

I am waiting for your comments.

Best regards,

Ilhan

2008/6/27, Tomasz Janeczko <groups@xxxxxxxxxxxxx>:

Hello,

You need to define CURRENCY (symbol->information) for that pair to match the deposit currency.

You also need to setup currency tables in Tools->Preferences->Currencies

Best regards,
Tomasz Janeczko
amibroker.com

----- Original Message -----

From: İlhan Ketrez

To: amibroker@xxxxxxxxxxxxxxx

Sent: Thursday, June 26, 2008 4:24 PM

Subject: [amibroker] Portfolio backtest in forex

Hello,

While the currency for the margin deposit is not USD, how can we perform a correct portfolio backtest in XXXYYY where YYY is not USD such as EURCHF?

Thanks in advance.

Ilhan