portfolio backtesting and multicurrency

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marnem
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Joined: 24 Feb 2014

portfolio backtesting and multicurrency

Postby marnem » 24 Feb 2014

hi all...i've a question for multichart backtesting.
i've 4 couple of valute (EUR/JP - AUD/USD - GBP/USD - AUD/CHF) and the same strategy.
ok...when i use portfolio backtesting the performance report use the second valute and not change the results in a single valute.
Is there a method for wxchange this report with the same value like $?
Thanx for all

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Henry MultiСharts
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Re: portfolio backtesting and multicurrency

Postby Henry MultiСharts » 26 Feb 2014

Hello marnem,

For Forex pairs the price is shown in the secondary currency. For ex GBPJPY the price is in Japanese Yen.
Portfolio Backtester does not adjust the prices automatically to show the report in a single currency across all instruments.
It means each instrument report is in the secondary currency of the pair.
You need to configure the big point value for the instruments in QuoteManager if want to have the report in a single currency.
That is done via Quote manager->Edit symbol->Settings tab->Big Point Value.
This is a static value that cannot be changed dynamically over historical data.
After that is done you need to restart the Portfolio Backtester to use the adjusted settings.
The currency conversion algorithms for Portfolio Backtesting are targeted to MultiCharts 9.0


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