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the.crocs wrote:
Hello,
For EUR,
BigPointValue = 125,000
PointValue = 12.5
MinMove = 12.5
In GS, I have EUR setup as follows
Price Scale = 1/10000
PointValue = 125000
MinMove = 12.5
I would use 1 for EUR as a minmove in GS so correct setup would be:
Price Scale = 1/10000
PointValue = 125000
MinMove = 1
If you use "12.5" as minmove you will have correct reults in backtesting
only if you use @ market orders to enter and exit. Any other type of orders
would require "1" as minmove to get you correct results.
Good trading.
--
Maxime
No. You are implying market orders are somehow different from limit
orders, even if the fill price is the same. How so? Right now EUR is
trading 1.28xx. In my systems, I can replace all sell @ market with sell
@ 1.2700 limit and I don't see how the results would be any different. I
have MinMove set to 12.5, and all strategy results are correct.
And yes, MinMove does seem to be 1, per TS help file. According to help.
both PointValue and MinMove is of concern only in RadarScreen &
OptionStation. This is supposedly not available in TS. But both
Print(MinMove) & Print(PointValue) in a strategy prints 12.50 alright.
But, according to help,
MinMove*PriceScale*BPV = $value of smallest change in price. For EUR,
MinMove*(1/10000)*125000 = $12.5 (a tick)
so MinMove = 1.0
Maybe TS pays no attention to whatever we set as MinMove? Only RS & OS
cares? Maybe that's why Print(PointValue) in a strategy prints 12.5? A
value of no significance (in a strategy)?
Looks like your results in a strategy would be correct as long as you
have your BigPointValue correct. Nothing else matters, assuming you have
correct prices, of course. That is because, from help
Close * BPV returns the current value of an asset. And why not - as long
as TS can see I entered @ 1.2815 & exited @ 1.2820, profit = $125000 *
(1.2820 - 1.2815) = $62.50 - slippage - comm. Nothing else is needed to
calculate this correctly.
Thoughts? Comments?
Abhijit
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