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I'm not sure what problem you're
having...
----- Original Message -----
Sent: Thursday, June 01, 2006 8:39
PM
Subject: Re: [amibroker] Forex AA
settings - help me..
Is nobody out there backtesting forex ? I'm not after state
secrets here
people, just an idea of how to proceed.. Ta,
GRANT
Grant Noble wrote:
> Hi all, have been coding attempts to
allow backtesting forex and have
> reached a point that I can't seem to
move past.
>
> In theory it seems simple enough:
> -
standard contract = 100,000xCCY1
> - a one point move in CCY2 is worth
10xCCY2 (or 1000xCCY2 if CCY2 is JPY..)
> - ticksize is 0.0001 (or 0.01
if CCY2 is JPY..)
> - margin is 2% of CCY2
>
> My code
follows. I suspect it's not right but it gives pretty close
> results
to hand tests. Except for JPY which is never picked up by AA
> (even if
trades are picked up by Exploration).
> I'm going nuts here people - any
feedback appreciated.
>
> BTW I also have questions about Forex
conversions to base currency but
> Marcin has promised a KB article
soon. :-)
>
> Regards, GRANT
>
>
*<code>*
> if ( StrRight( Name (), 3 ) == "JPY" )
{
> TickSize =
0.01;
> PointValue = 1000;
> } else
{
> TickSize =
0.0001;
> PointValue = 100000;
> }
>
// FOREX settings
> SetOption( "FuturesMode",
True);
// use margin
> deposit and point value in calculations
>
RoundLotSize =
1;
// whole contracts only
> lotSize =
100000;
// full contract
> 100,000 base currency
> MarginDeposit =
lotSize *
0.02;
// margin 2% of
> position value
> contracts =
1;
// contracts to
> acquire
> SetPositionSize( contracts, spsShares
); //
spsShares = size
> expressed in shares/contracts
>
*</code>*
>
>
>
>
>
>
> Please
note that this group is for discussion between users only.
>
> To
get support from AmiBroker please send an e-mail directly to
> SUPPORT
{at} amibroker.com
>
> For other support material please check
also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
>
>
>
>
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>
>
>
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
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