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Hello, I am hoping someone can point me to the correct backtester settings for cross pairs, when neither of the currencies is the
base currency.
I have referenced the knowledge base, specifically the following page, and the discussion between G. Noble and Tomasz from the bottom of that page (pasted below):
http://www.amibroker.com/kb/2006/08/09/amibroker-for-forex/
The problem with the above occurs when one is backtesting Intraday and trading on Open prices. The backtester will correctly Buy EURJPY based on Open, but for the initial currency conversion from AUD to JPY, it will use the Close of the same bar on AUDJPY. For example, if trading on Hourly bars, it Buys at the Open of EURJPY at 2:00 PM bar, but does the initial conversion at the Close of AUDJPY at the same 2:00PM bar (i.e. 2:59:59 PM). It is essentially looking into the future for the initial currency conversion on AUDJPY, and the difference can be significant.
All my AFL settings for BuyPrice etc. are set to Open. All my AA trade price settings are also set to Open.
So how do I get the backtester to do that initial currency conversion on the Open price, and not the Close?
Any help much appreciated.
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Howis Position Value calculated for non-base currency ? For example, basecurrency AUD and trading EURJPY. This assumes: a)Symbolinformation/Currency for EURJPY is JPY, b) JPY/AUDJPY/inverse inPrefs/Currencies and c) AUDJPY exists in database
Further, what additional caculations perform rate-to-baseconversions once profit is calculated ? For example, profit in Yen (forEURJPY) back to AUD base ?
Can you confirm that Point value will (in effect) be the same for any currency, ie.
EURUSD 10$ / 0.0001 = 100000
EURJPY 1000Y / 0.01 = 100000
What exactly does multipler do in Prefs/Currencies?
AmiBrokerfirst converts appropriate amount of funds from base currency (in yourexample AUD) to required currency (JPY) at the time of ENTRY usingENTRY day FX RATE.
Appropriate amount in AUD is subtracted from cash.
Then at the end of trade it converts back JPY to AUD using EXIT dayFX RATE. And profit is returned in base currency (back to cash).
So TWO different FX rates are used (one for entry and one for exit).
Point value is in the symbols' currency. Multiplier practically isfor JPY only because Yens are quoted in hundreds against USD and othercurrencies.