FX conversion for non-$ Futures contracts
Author: akardar1
Creation Date: 1/20/2009 4:56 AM
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akardar1

#1
Hello,

Still interested in purchasing WL. There's alot of positive feeback for those involved in backtesting trendfollowing strategies. My question is :

Let's assume Iam testing a strategy for wheat (USD), gold (USD), The japanese 10 year goverment bond (Yen) and the LIFFE sugar (GBP) for instance. Can WL backtest and provide the historical performance metrics in single USD currency ?
Will it convert profits/losses into USD to standardize the performance? What is the workaround ?
The turtles only traded US products, and would not have this issue, but these days the global markets are easily accessible, so one would assume that backtesting a strategy across global futures denominated in different FX rates is possible... what are the limitations ? Is it just a case of being a good C# progammer?
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Cone

#2
QUOTE:
Can WL backtest and provide the historical performance metrics in single USD currency ?
It doesn't really matter how many times you ask the question, the answer is the same - no built-in support for multi currency.

QUOTE:
different FX rates is possible
I haven't studied this intensively, but I don't think FX is a problem for cross rates that involve USD as the second pair (EUR.USD, AUD.USD, GBP.USD, etc.) since the profits from these FX trades are denominated in USD anyway. The problem is for other combinations like USD.JPY or crossrates that don't involve USD. In this case, you'd have to come up with a rather complicated and error-prone work-around if (and only if) you needed to perform portfolio backtests that mixes currency results, and even then, I'm not certain that it's possible. If this is required, frankly I'd look for a different product. Wealth-Lab doesn't support it natively.