backtesting forex pair USDJPY
backtesting forex pair USDJPY
New to forex and working on a system and have run into a problem that I don't understand. Backtesting doesn't calculate the results properly. Here's an example. USDJPY trading at 93.536, risking $1000 USD, entry minus stop price is 0.26 USDJPY, size is 359754. This trade is stopped out and the strategy report shows a loss of $93536 but should be $1000. Is there a property or a setting that I do not have set correctly? Thanks
Re: backtesting forex pair USDJPY
Would probably need to see it but you are probably looking at yen not $.... MC is a bit awkward when backtesting forex pairs. It doesn't convert everything to your base currency like it should
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Andrew MultiCharts
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Re: backtesting forex pair USDJPY
Hello tozwp,
Please upload 3 screenshots:
Please upload 3 screenshots:
- The trade values from the report
- Right-click on the chart you backtest -> Format Signals -> Properties -> Properties tab
- Right-click on the forex pair in QuoteManager -> Edit symbol... -> Settings tab
Re: backtesting forex pair USDJPY
Hi Andrew, here are the screenshots requested:
- Attachments
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- Properties.JPG
- (62.78 KiB) Downloaded 1002 times
Re: backtesting forex pair USDJPY
Symbol settings:
- Attachments
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- SymbolSettings.JPG
- (43.24 KiB) Downloaded 992 times
Re: backtesting forex pair USDJPY
Trade values
- Attachments
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- TradeValues.JPG
- (94.5 KiB) Downloaded 990 times
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Andrew MultiCharts
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Re: backtesting forex pair USDJPY
Hello tozwp,
Everything is calculated correctly according to your screenshots:
Profit (in the second currency of the symbol) = (entry price - exit price) x number of contracts (specified by your code) x big point value (from QuoteManager settings)
¥ Profit = (104.728 - 105.023) x 355397 x 1 = -104842.11
Everything is calculated correctly according to your screenshots:
Profit (in the second currency of the symbol) = (entry price - exit price) x number of contracts (specified by your code) x big point value (from QuoteManager settings)
¥ Profit = (104.728 - 105.023) x 355397 x 1 = -104842.11
Re: backtesting forex pair USDJPY
Thanks Andrew. If I understand this correctly, to backtest in MC I will need to divide by 100K which is the size of the contract. For trading though, I need to leave this as is because the trade size with the broker (IB) is in units, not contracts.
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Andrew MultiCharts
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Re: backtesting forex pair USDJPY
If you mean you want to see lots in backtesting but still trade with IB - yes.
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Andrew MultiCharts
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Re: backtesting forex pair USDJPY
It always shows the $ sign, no matter what is the currency of the symbol. Simply ignore it and keep in mind the second currency of a forex pair is used in profit/loss values.As far as I can see it is showing $ sign which is wrong.
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JoshM
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Re: backtesting forex pair USDJPY
This probably will be implemented in MC 9.0 Beta 1.But my currency is not Yen, GBP, CAD, . What if I would trade USDJPY, EURGBP, AUDCAD and my base currency was USD? So P/L should be converted to USD. Simply ignoring it is not a solution.
See PM request MC-349 - Add realistic multi-currency support to Portfolio Backtesting.
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Andrew MultiCharts
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Re: backtesting forex pair USDJPY
JoshM is right, at the moment the only workaround is to change Big Point Value for a forex pair in QuoteManager in order to emulate currency conversion. Big Point Value in this case acts like a multiplier. In future version we will introduce some improvements in regards to this case.But my currency is not Yen, GBP, CAD, . What if I would trade USDJPY, EURGBP, AUDCAD and my base currency was USD? So P/L should be converted to USD. Simply ignoring it is not a solution.