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Open Feature request MC-349

Add realistic multi-currency support to Portfolio Backtesting

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Description

The current currency solution when performing a Portfolio Backtest gives incorrect results. Though it is currently (MC 6.1 Release, Build 3605) possible to convert the backtest results to another currency using a fixed exchange rate (see screenshot), there are multiple disadvantages to this:
 

  • The fixed conversion rate is added after the backtest is run, which results in distorted position sizing and money management applied during the backtest;
  • The fixed conversion rate is 'fixed', which gives a bigger distortion the longer the backtest period;
  • When backtesting multiple forex pairs: other currency pairs are also converted using the manually entered exchange rate, which gives an added distortion.

Given the growing internalization of trading and the low commission cost to trade across the globe, MultiCharts needs a better and more realistic approach to backtesting strategies across multiple instruments denominated in other currencies than the user's base currency.
 
Other backtest programs, such as Amibroker and SmartQuant already (claim) to provide this feature. A request for multiple currency support in MultiCharts has been made in 2008 (http://www.multicharts.com/discussion/viewtopic.php?f=1&t=5716), which suggest that there is already some time a need for this feature. Given the high popularity of forex trading, and the continuing evolving need for more rigorous backtesting, this feature would be a true enrichment of MultiCharts.
 
 
Idea:
Let the user specify his or her base currency, and perhaps require that this currency pair is added through the use of an 'Informational Instrument'. Then, after the close of each trade, calculate the result to the base currency of the user using the exchange rate of that moment.

Steps to reproduce this issue

There are no steps to reproduce; this is a feature request.

Comments (4)
#0
user-offline.png  reptile (reptile)
Jul 25, 2012 - 10:19

Note that! We can import data feed from ascii. We want test EA on fx market with different deposit currency not only USD.

#0
user-offline.png  swz168 (swz168)
Jan 09, 2013 - 16:43

For which version is this feature request targeted? Please implement it soon. This is a great feature and it can bring Portfolio backtester to a whole new level. Backtesting of difference markets with different currencies would be great for the idea of diversification.

#0
user-offline.png  Adam (Adam333)
Mar 05, 2013 - 12:05

When implementing this much needed functionality, can you please also make keyword BigPointValue return the value of a big point in base currency of user's account. 
See example in Items Attached.

#0
user-offline.png  zammo (zammo)
Jul 03, 2014 - 12:54

The calculation for this feature is incorrect...
Have posted a topic here
http://www.multicharts.com/discussion/viewtopic.php?f=1&t=46824

Andrew could you comment please? Thank you

History
Issue basics
  • Type of issue
    Feature request
  • Category
    Usability
  • Targeted for
    MultiCharts 9.0 (RELEASED)
  • Status
    Released
User pain
  • Type of bug
    Not triaged
  • Likelihood
    Not triaged
  • Effect
    Not triaged
Affected by this issue (3)
People involved
Times and dates
  • Posted at
  • Last updated
Issue details
  • Resolution
    Not determined
  • Severity
    Normal
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