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Back-testing FOREX instruments - problems with Performance Report
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Back-testing FOREX instruments - problems with Performance Report

  #1 (permalink)
Trading Apprentice
London
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Crude CL, FX
 
Posts: 3 since Aug 2017
Thanks: 9 given, 0 received

Back-testing FOREX instruments - problems with Performance Report

In recent weeks I have been developing several trading strategies using TS.

Thus far, I have been using futures contracts as the testing instruments such as ES, YM and then also currency futures such as EC, AD or JY. I am now trying to run the strategies on currency spot instruments such as EURUSD or AUDUSD.

With the futures contracts, I have used bigpointvalue in my code. I changed this to bigpointvalue*100000 to get the position sizing correct.

The strategies appear to work correctly on the spot instruments - the entries and exits are working as expected when looking at the chart. However the profit/loss from the trades are not calculating correctly - thus the trading strategy performance report is meaningless. Is there some type of setting I need to change somewhere for this to work?

Thanks in advance,
George

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  #2 (permalink)
Market Wizard
Germany
 
Futures Experience: Intermediate
Platform: Other
Favorite Futures: ES, YM, 6E
 
Posts: 2,585 since Feb 2013
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Forum Reputation: Legendary


trickortrade View Post
In recent weeks I have been developing several trading strategies using TS.

Thus far, I have been using futures contracts as the testing instruments such as ES, YM and then also currency futures such as EC, AD or JY. I am now trying to run the strategies on currency spot instruments such as EURUSD or AUDUSD.

With the futures contracts, I have used bigpointvalue in my code. I changed this to bigpointvalue*100000 to get the position sizing correct.

The strategies appear to work correctly on the spot instruments - the entries and exits are working as expected when looking at the chart. However the profit/loss from the trades are not calculating correctly - thus the trading strategy performance report is meaningless. Is there some type of setting I need to change somewhere for this to work?

Thanks in advance,
George

If you use crutches like replicating 6E trades via EURUSD, you should start at least with a correct multiplier -
which is 125000 in that case ...

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  #3 (permalink)
Trading Apprentice
London
 
Futures Experience: Intermediate
Platform: TradeStation
Favorite Futures: Crude CL, FX
 
Posts: 3 since Aug 2017
Thanks: 9 given, 0 received



choke35 View Post
If you use crutches like replicating 6E trades via EURUSD, you should start at least with a correct multiplier -
which is 125000 in that case ...

Yes, of course, thanks for pointing that out.

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