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Currency management in multi-instrument strategy

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    Currency management in multi-instrument strategy

    Hi!

    I have some multi-instrument strategies that work with DAX and CL futures. I do some calculations wiht the combined PnL during the trades, but I wonder if NT convert one of the currencies to work with the same currency in both instruments (as MultiCharts do, downloading FX historical info), or it manage both instruments as if they have the same base currency (it would show false results in the backtest).

    Thanks in advance.

    #2
    Hello Santi,

    Thanks for your post.

    Instruments are configured each to use their own base currency. PnL calculations are then based off of the configured point value which is in terms of the instrument's base currency. These are not converted to an account denomination in backtests. Account PnL calculations can be converted to a desired base currency using the Account.Get method and specifying the needed denomination.

    Account.Get() - https://ninjatrader.com/support/help.../en-us/get.htm

    Please let us know if you have any additional questions.
    Last edited by NinjaTrader_Jim; 01-08-2019, 09:00 AM.
    JimNinjaTrader Customer Service

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      #3
      I see.

      I think i should add 6E future as third instrument and multiply CL by 6E close price to get my position in euros.

      Thanks for your answer.

      Comment

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