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Hi there,
has anybody developed an algorithm in NT to determine position size when trading FX?
This might sound stupid or obvious but the traditional position sizing tools that you find browsing around in the forum or in the NT forum work fine for futures but not for FX. What is needed is an algorithm that adopts different code when trading direct rates (e.i. EURUSD,AUDUSD,NZDUSD) comprared to indirect rates (e.i. USDCAD,USDJPY). This is without taking into consideration cross rates (e.i trading EURJPY with a USD account) that would imply even more complex code.
I am trying to develop this myself, as I believe that embedding Money Management in a strategy can dramatically improve the equity curve of any given strategy. I was wondering if anybody out there would be happy to work with me on this, or even better has this already developed. Thanks, John
Can you help answer these questions from other members on NexusFi?
This has less to do with position sizing, the problem is that ninja (and most of the other retail software) cannot calculate PnL for FX. It was made under the assumption that (like with stocks or futures) the tick-value of an instrument is constant, while in FX it will fluctuate in $-terms for pairs that are not quoted in US Dollars (like usd/jpy).
For realtime, you could calculate it yourself, but for backtesting its more difficult. Bottom-line is Ninja needs to support multi-currrency portfolios on a realtime and historical basis. Not sure if this is part of 8.0. Probably not, i am always surprised that so few people complain about such a glaring defect.
Its fixed $10 per pip per 100K lot for all XXX/USD pairs. But not for the others.
Looks like Baruchs' code is good for accurate position sizing. But as far as i can see, there is no way to make Ninja calculate PnL for a backtest this way and use it for performance calculations (which makes optimization results questionable in some cases). Same problem when you trade a portfolio of futures, for example ES and FDAX.