MC 9.0 Currency conversion

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bluemulti
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MC 9.0 Currency conversion

Postby bluemulti » 14 Oct 2014

Hi,

I tested the currency conversion on MC and on Portfolio Trader but I found an issue.

If I set a base currency different from the original currency (ex. in a DAX system I set USD as base currency) the input paramenters like StopLoss/Profit Target are interpreted as in USD: that is not correct because the SL/PT are defined in the original currency (ex. in a DAX system the SL/PT are defined in EUR. When I set a USD base currency the SL/PT values are considered as in USD, that it's not correct).

Can you help me?

I'm setting the base currency with the below procedures:
MC: right-click on the chart -> format signals -> Properties -> Properties tab -> Base Currency
PT: portfolio settings tab -> base currency

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 14 Oct 2014

Hello bluemulti,

Please check how currency conversion worksin MC.

In order to help you, please answer the following question, so i totally understand your goals.
  1. What currency do you want to be the base currency of the symbol?
  2. What currency do you want to see in Strategy Perfomance Report report?
  3. What currency do you want to see in Order and Position Tracker?
  4. What currency do you want for inputs?

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 14 Oct 2014

What currency do you want to be the base currency of the symbol? USD
What currency do you want to see in Strategy Perfomance Report report? USD
What currency do you want to see in Order and Position Tracker? I'm talking about backtesting. It's not important at the moment
What currency do you want for inputs? The currency for the input it's the original currency of the strategy. The strategy is for DAX so the currency is EUR.

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 14 Oct 2014

Hello bluemulti,

I don't understand, you wrote contoversial information:
What currency do you want to be the base currency of the symbol? USD
What currency do you want to see in Strategy Perfomance Report report? USD
...
What currency do you want for inputs? The currency for the input it's the original currency of the strategy. The strategy is for DAX so the currency is EUR.
If you want the base currency of the symbol and the currency of the report to be USD, there is no way you can set a different currency for inputs.

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Re: MC 9.0 Currency conversion

Postby bluemulti » 14 Oct 2014

It's not controversial, it's the right way of working.

Let's see a real case. I have a portfolio with more than one system with base currency USD. I have also a DAX strategy part of the portfolio with base currency in EUR, that means the inputs (stop loss, profit target) are in EUR.

I want to backtest the porfolio with a single currency. I set the base currency of the porfolio in USD.
I think that the right implementation is to convert only the DAX trade results in USD and not the inputs.

Can you involve you engineers? I'm sure they can understand.

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 15 Oct 2014

bluemulti,

In MC 9.0 Release by default the inputs for the special orders (such as SetStopLoss, SetProfitTarget, etc.) are treated in the currency of the symbol that is set in QuoteManager. The "Base Currency" you set in Portfolio Trader is used for conversion the profit and loss during strategy calculation and showing you the report values.

Do you use prebuilt special orders (SetStopLoss and SetProfitTarget)?

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 15 Oct 2014

yes.

Can you make a test?
I made a test and MC 9.0 it's not working as you said.

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 22 Oct 2014

bluemulti,

Thank you for waiting. You are right, the issue will be fixed in MultiCharts 9.0 Release 2.

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 16 Nov 2014

Hi All,

I have tested Mc 9.0 release 2 but I see the same issue. Tell me if you need a remote session: I can show you exactly the issue.
I'm not sure you have get the point.

Let me know

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bensat
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Re: MC 9.0 Currency conversion

Postby bensat » 16 Nov 2014

I think this is just a hypothetical issue and there is no adj. needed.

The correct way to backtest a system is to test it with the contract/symbol in it's base currency. You want to decide a system is working on the FDAX calculated in USD and falling in the trap with all the influences of past currency prices ? What if your performance in USD just shows good results because the USD was weak vs the EUR, but the overall performance of your system in the base currency is just flat ? What if the the USD strengthens ? Your performance curve will go against you with the same system performance.

When we made serious backtesting in products based on US$, we always tested the strategies in the base currency and ran the hedge against the currency risk in the portfolio or strategy outside the trade and position.

I see no "real life" issue in the current MC settings. Just my opinion.

Regards.

Ben

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 17 Nov 2014

How do you backtest a portfolio with different currencies?

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 18 Nov 2014

Hi All,

I have tested Mc 9.0 release 2 but I see the same issue. Tell me if you need a remote session: I can show you exactly the issue.
I'm not sure you have get the point.

Let me know
Hello bluemulti,

You are right, it is not yet included in current MC version. I checked it with engineers: unfortunately due to some complications the issue was re-assigned to MultiCharts 9.1. Thank you for understanding.

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Re: MC 9.0 Currency conversion

Postby FutureTrader » 17 Dec 2014

Hi All,

I have tested Mc 9.0 release 2 but I see the same issue. Tell me if you need a remote session: I can show you exactly the issue.
I'm not sure you have get the point.

Let me know
Hello bluemulti,

You are right, it is not yet included in current MC version. I checked it with engineers: unfortunately due to some complications the issue was re-assigned to MultiCharts 9.1. Thank you for understanding.
I have the same problem that I have a basket of equities with different currencies and SetProfitTarget etc. isn't working properly. Is it possible to fix this in the next 9.0 Release 5? As I don't know when 9.1 is coming and this makes backtesting multiple equities from different currencies impossible.

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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 17 Dec 2014

Is it possible to fix this in the next 9.0 Release 5?
Sorry, but the problem turned out to be more complicated than we thought and the fix cannot be included in existing version.

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Re: MC 9.0 Currency conversion

Postby FutureTrader » 17 Dec 2014

Is it possible to fix this in the next 9.0 Release 5?
Sorry, but the problem turned out to be more complicated than we thought and the fix cannot be included in existing version.
could you give any hints when 9.1 will be released. Q1 2015, Q2 2015? Or perhaps a month range in 2015? It's about my further planning for setting my trading systems going live.

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 17 Dec 2014

I can only guess, but from my experience it should not be later than Q2 2015. Most likely earlier. Please note that it is just my own guess.

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 11 Mar 2015

Do you have an update about the release?

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Andrew MultiCharts
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Re: MC 9.0 Currency conversion

Postby Andrew MultiCharts » 12 Mar 2015

Do you have an update about the release?
Sorry, i don't have the info.

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 13 Mar 2015

What do you mean with 'I don't have info'? There is target release today? Or which is the status of the bug fixing?

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TJ
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Re: MC 9.0 Currency conversion

Postby TJ » 13 Mar 2015

What do you mean with 'I don't have info'? There is target release today? Or which is the status of the bug fixing?
See post #16
I can only guess, but from my experience it should not be later than Q2 2015. Most likely earlier. Please note that it is just my own guess.

bluemulti
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Re: MC 9.0 Currency conversion

Postby bluemulti » 24 Mar 2015

thanks for the community contribution but I need the Multicharts answer to my question (not only an hypothesis):

What do you mean with 'I don't have info'? Is there a target release today? Or which is the status of the bug fixing?

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Re: MC 9.0 Currency conversion

Postby Henry MultiСharts » 30 Mar 2015

Hello bluemulti,

In MultiCharts 9.0 the inputs for the special orders (such as SetStopLoss, SetProfitTarget, etc.) are treated in the Base Currency selected in Format->Strategy Properties->Properties. We are going to add an optional parameter for treating the inputs for the special orders in the currency of the symbol (will be possible to set in QuoteManager) in MultiCharts 9.1 Beta 1. This version is in the work at the moment but there is no estimated release date. Please follow us on Twitter, Facebook, and our Traders’ Blog to get the latest updates.


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