I'm looking at creating a strategy which trades several pairs, but more importantly with USD as the base (e.g. USDJPY or USDxxx) and also as the quote currency (e.g. EURUSD or xxxUSD) within the same strategy.
The issue is that when the strategy trades USDJPY, Strategy Analyzer as well as internal metrics such as SystemPerformance.AllTrades.TradesPerformance.Curr ency.CumProfit gives me the currency profit in JPY rather than USD, which is similar to what would happen in reality.
However, is there any way to force the strategy to provide this in USD instead?
Otherwise I can see there being issues if the system does not recognize the P&L currency because if I were to add EURUSD to the same strategy, the P&L contributions from the JPY trades will crowd out the EUR trades, and also, the backtest wouldn't be accurate as 1 JPY in P&L (from USDJPY trades) will be seen as the same as 1 USD (from EURUSD trades).
I know that switching to % may resolve this issue as that will still be accurate. However, one important part of the strategy is that it trades dynamic sizes. The way Strategy Analyzer works is that a 5% profit on a 1/10th position is taken to have the same effect on cumulative net profit as a 5% profit on a full size position. Therefore, the way I usually handle this is by working in currency and then tracking metrics internally.
Do you have any advice on what I could do to backtest strategies with pairs that have USD as both the base and quote currency?
Thanks in advance!
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