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

01.07.2008 tarihinde Grant Noble <gruntus@xxxxxxxxxxx> yazmış:

Quit your whining. It took me the best part of 2 years to get accurate profit & margin calculations.
It didn't help that there was a bug in fx profit calculations involving leverage but Thomasz fixed
that a few releases ago (ta :)). Along the way I realised that not all brokers calculate margin the
same way - my broker actually has three different calculations depending on the type of stop used.
Some base margin on CCY1, some on CCY2. Also margin, as a symbol information property, is defined
statically whereas I needed to define it dynamically at order time based on entry price. Therefore I
needed CBT code which I was able to create with the help of another participant on this forum (g'day
Aron). You too will probably need something like this. Amibroker support is tip-top but working out
how to set backtest preferences for your broker is your job.

I'll attach some code I use. I #include it in all my systems. Note that is uses ATC so you'll have
to retrieve this data within your system code. Note also that this code is partially obsolete (since
that bug was sorted out). Will it do exactly what you want? Probably not, you'll need to tweak
depending upon your use. I need to do more work on it but I've been busy with twin babies. Hope it
helps. G

/*
       Grant's FX preferences
*/
SetOption("FuturesMode", True);                                         // = use MarginDeposit and PointValue in calculations
SetOption("InitialEquity", 10000 );                                             // Initial equity $
SetOption("MaxOpenPositions", 4 );                                      // Max number of positions
SetOption("CommissionMode", 3);                                         // 3 = $ per share/contract
SetOption("CommissionAmount", 0);                                               // Commission amount
SetOption("AccountMargin", 100);                                                // Account margin, 100 = no margin
SetOption("PriceBoundChecking", True );                                 // Price to stay in bar range ?
SetOption("UsePrevBarEquityForPosSizing", True );       // Use last known bar for position sizing ?
SetOption("ActivateStopsImmediately", False);                   // Intraday stops ?
SetOption("Allowsamebarexit", True);                                    // Allow same bar exit for profit stops ?
SetOption("Allowpositionshrinking", True);                      // Take partial trades if equity available ?
SetOption("InterestRate",0);                                                    // Set interest rate earned for free cash, zero to evaluate system
SetOption("UseCustomBacktestProc", True);                       // Use Custom backtest for reporting ?
SetOption("MinShares", 1);                                                              // Min number shares one
SetOption("MinPosValue", 0);                                                    // Min position value to make trade worthwhile, 0 = no limit
SetTradeDelays(0,0,0,0);                                                                // Trade delays applied by the backtester

lotsize =  StrToNum( ParamList("Lot size", "100000|10000|1000", 0) );           // default lot 100000
leverage = Param("Leverage rate", 50, 1, 100, 1);                                                       // default leverage 50:1
base = ParamList("Base currency","AUD|CAD|CHF|EUR|GBP|USD", 0);         // default base currency AUD

ccy2 = StrRight( Name(), 3 );                                                   // eg. EURJPY gives JPY
TickSize = IIf( ccy2 == "JPY", 0.01, 0.0001 );                  // the minimum price move of symbol
RoundLotSize = 1;                                                                               // whole contracts only
contracts = 1;                                                                                  // contracts to acquire
SetPositionSize( contracts, spsShares );                                // spsShares = size expressed in shares/contracts

fxRate = IIf( ccy2 == base, 1, Ref( Foreign( StrFormat( ccy2 + base ), "Close" ), -1 ) ); // eg.
close of JPYAUD yesterday
pv = lotsize * fxRate;                  // the amount of profit generated by one contract for a one point increase
in price
md = pv * Close * 1 / leverage; // the amount of money required to open single contract position [IG
margin - no stop]

// note: ATC code produces future leak warning when code is Checked by editor..
AddToComposite( pv, "~spec_" + Name(), "O", atcFlagDeleteValues + atcFlagCompositeGroup +
atcFlagEnableInExplore + atcFlagEnableInBacktest ); // store daily point value in composite
AddToComposite( md, "~spec_" + Name(), "C", atcFlagCompositeGroup + atcFlagEnableInExplore +
atcFlagEnableInBacktest ); // store daily margin deposit in composite

SetCustomBacktestProc(""); // no external backtest procedure
if ( Status("action") == actionPortfolio) {
       bo = GetBacktesterObject();     // get backtester object
       //
       // set correct MarginDeposit & PointValue on entry signal days
       //
       bo.PreProcess();                                // do pre-processing (always required)
       for (i = 1; i < BarCount; i++)          // loop through all bars
       {
               for (sig = bo.GetFirstSignal(i); sig; sig = bo.GetNextSignal(i)) // loop through all signals at
this bar
               {
               if( sig.IsEntry() ) // is it an entry signal (buy/short) ?
                        {
                               pv = Foreign( "~spec_" + sig.Symbol, "O" );             // entry day point value
                               md = Foreign( "~spec_" + sig.Symbol, "C" );             // entry day margin deposit
                               _TRACE( StrFormat( "Ticker=" + sig.Symbol + "  PointValue=%1.0f  pv=%1.0f  MarginDeposit=%1.0f
md=%1.0f", sig.PointValue, pv[i], sig.MarginDeposit, md[i] ) );
                               sig.PointValue = pv[i];                 // set symbol PointValue
                               sig.MarginDeposit = md[i];              // set symbol MarginDeposit
                       }
               }
               bo.ProcessTradeSignals(i); // process trades at bar (always required)
       }
       bo.PostProcess(); // do post-processing (always required)
}
//

İlhan Ketrez wrote:
> 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
> <mailto:ilhanketrez@xxxxxxxxx>>
> Tarih: 27 Haziran 2008 Cuma 15:28
> Konu: Re: [amibroker] Portfolio backtest in forex
> Kime: amibroker@xxxxxxxxxxxxxxx <mailto: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
> <mailto: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 <http://amibroker.com/>
>
>         ----- Original Message -----
>         *From:* İlhan Ketrez <mailto:ilhanketrez@xxxxxxxxx>
>         *To:* amibroker@xxxxxxxxxxxxxxx <mailto: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
>
>
>
>
>
>
>
> ------------------------------------------------------------------------
>
>
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