[amibroker] Re: Amibroker commissions in other currencies.
Hi Aaron, and thanks for the suggestion. What you are basically saying is that I can add some artificial pips to the prices so that they take care of the commissions. Will that work if -for example- the sell price I set is not within the range of the bar in which I close? I thought Amibroker wouldn't allow me to do that, and that is why I dismissed the idea originally when I coded the system. The reason I ask is because the entry and exit prices of my systems are very precise and I am working with 1-minute bars, so I have to be careful not to alter them, it is price what determines when exactly I enter and exit a trade (I am already using buyprice, shortprice, sellprice and coverprice for this). If I alter -for example- sellprice as a way to include the commission and as a result the closing condition is not met in that bar because the modified sellprice falls out of the bar, I'd be getting different results. I can always evaluate the condition first with an unaltered price, but I might find a case in which the closing condition is met but the price at which I want to close (now altered to include the spread) does not fall into the range of that particular bar. --- In amibroker@yahoogroups.com, Aron Pipa wrote: > > Use buyprice and sellprice : > > Spread = 0.0002; > Buyprice = close + spread; > Sellprice = close - spread; > > > On Sep 9, 2010, at 11:15 AM, "pipadder" wrote: >
Re: [amibroker] Re: Amibroker commissions in other currencies.
Use buyprice and sellprice :
Spread = 0.0002;
Buyprice = close + spread;
Sellprice = close - spread;
On Sep 9, 2010, at 11:15 AM, "pipadder" wrote:
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> Hi,
>
> Thanks for the tip. I am actually using those specifications already, one
> needs to detail the margin, the value of a pip, etc in order to get
> appropriate order sizing and accurate results. That part works fine. The
> problem is that there is nothing there related to commisions or -more
> specifically- to the currency they are expressed in. The "currency" field in
> that information window works fine to translate everything to the account
> currency... everything but the commissions!
>
> So far the only idea that comes to mind would be to use as account currency
> the quote currency (for example JPY for backtesting USDJPY). That would
> produce accurate results, but it would be a little bit of a pain, and would
> require changing the account for every currency pair with a different quote
> currency.
>
> I am sure there has to be an easier way to do this.
>
>
>
> --- In amibroker@yahoogroups.com, reinsley wrote:
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>> Hi,
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>> In Symbol | information | menu
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>> You can set contract specification for each future.
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>> I hope it helps you.
>>
>> Best regards
>>
>>
>>
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[amibroker] Re: Amibroker commissions in other currencies.
Hi, Thanks for the tip. I am actually using those specifications already, one needs to detail the margin, the value of a pip, etc in order to get appropriate order sizing and accurate results. That part works fine. The problem is that there is nothing there related to commisions or -more specifically- to the currency they are expressed in. The "currency" field in that information window works fine to translate everything to the account currency... everything but the commissions! So far the only idea that comes to mind would be to use as account currency the quote currency (for example JPY for backtesting USDJPY). That would produce accurate results, but it would be a little bit of a pain, and would require changing the account for every currency pair with a different quote currency. I am sure there has to be an easier way to do this. --- In amibroker@yahoogroups.com, reinsley wrote: > > > Hi, > > In Symbol | information | menu > > You can set contract specification for each future. > > I hope it helps you. > > Best regards > > >
