Roger wrote:

Pipsize is the adjustment for forex in order to invest 30 000 eur too, but Im not 100% sure of the accuracy because I dont backtest forex strategies very often

What I do is “set” a currency relation at some stage of backtesting. For example, in my EUR/USD code I have a hard-coded 1,20 or something like that (1,00 EUR = 1,20 USD). This is my forever reference (all variables relate to that).  Next the currency relation of the moment is determined prior to each trade. Thus for today this would be 1,11458.

This goes all in the mix at obtaining position. This automatically means that if I “today” buy for 400,000 euros the EUR/USD pair, it implies 4.31 contracts (see 1st attachment from Jan 27). Apparently this was 4.26 contracts on Dec 23. I don’t even know that; I invest the 400,000 euros and want to see profit regarding *that*. … But this is obviously also how the backtests operate. No matter how far they go back, the investment remains consistent over time and the profit or loss can always relate to that (which is a mind thing too 🙂 ).

The sheer reason I did this, is because there is an other relation between the cost of a trade and the investment. This may not be so (really) when the cost is payed by spread, but with commission this is different. Anyway point is : we only make profit when the costs have been payed first, and these too are subject to currency influence first (if I pay commission in USD to a USA broker (IB) and the fee is in USD, you tell me what I pay for commission would I trade the EUR/ZAR, knowing that my account is in USD for IB but in EUR for IG).

My code is a complete madhouse because of it, but it is worth while. I won’t ever fall in the pitfall which changes all “tensions” (currency relations) over time, my backtest showing gain while in the end it is loss because of, for example, not taking into account sufficient commission, or plain wrong commission (like USD 30 for a trade of 400,000 ZAR ? hahaha, really not. But trading 400,000 EUR and that making 6,957,540 ZAR of it, yes. And what is the commission ?).

Go ask support how this all works, and they won’t even know what you are talking about and why. Wrapping your head around currencies is not easy at all. On a weekly basis I may find again another value (variable) I already used, but which relates to currency somehow and that I forgot to make it subject to that. Some times it is even hard to determine. Some times all is so much strangled that I can’t change one variable any more (make it subject to currency), unless I re-examine all of the code, which is quite undoable – or else very dangerous because you won’t notice most of the faults right away.

Anyway message is : I work with money only. Thus *all* is converted to money which already also is a decision, because in which currency then. I decided EUR because I buy my food in EUR and will understand profit and losses in that context. I really won’t when the EUR/USD was over 1,60 only in 2008 with my account in USD for another reason (though obvious).

BZzzzz

image_2022-01-29_060132.png image_2022-01-29_060210.png