Normalize on USD
Author: hankt
Creation Date: 5/25/2010 4:37 PM
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hankt

#1
I want to allocate to a portfolio based on USD, however, the stocks in the portfolio are in AUD, HKD, JPY, KRW, SGD & TWD.
My first thought was to find the data files imported from Yahoo and edit them, but then I wouldn't be able to stage my strategy for alert/trade generation...

Hank
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Cone

#2
I don't know what your allocation process looks like, but just do the calcuations on the fly. Pull in your cross-currency series using GetExternalSymbol and apply it to the appropriate Price DataSeries to create a normalized indicator.
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hankt

#3
The portfolio is to be allocated from USD and consists of one strategy for all of the above markets. Thus if the strategy is currently running trades in a few stocks in KR, SG and TW it may be impossible to allocate funds to AU, HK or JP stocks. If the strategy is applied to a single list of stocks, this works just fine. However, I can't run a single strategy in USD and have it applied to each stock for each market from that strategy.
If I break each country up into its own strategy, I can't run the strategies automatically as they may overspend - not being able to know what another strategy has on at any given time.
Is that more clear? I usually find these discussions difficult with folks that are single market focussed.
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Cone

#4
It certainly is a difficult discussion in the context of Wealth-Lab, because WL is single-currency focused. There's no problem testing different markets as long as the products are all in the same currency.

However, even if it doesn't come "in the box", practically anything is possible. If I had to do this, I'd probably go about it by 1) creating any required indicators in the base currency, 2) run a process that then converts the symbol's Price data to a common currency, and then, 3) execute the trades on that modified data based on the indicators created in 1. In this way, all contributions to the equity curve will be in one currency, and therefore the allocation of capital should be correct. (Never done it, but it's logical.)