Spot FX Trading
Author: AALMOHSEN
Creation Date: 6/3/2014 3:50 AM
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AALMOHSEN

#1
Hi,

I'm planning to trade spot FX and not Futures, i have end of day data as ascii file. My question, is it possible to do a backtest a basket of currencies with leverage. Let's say i have USD 1mio to trade spot FX and i can leverage the 1 million based on a position sizing algorithm. Is there a way to do this in Wealth-Lab?

Your help is much appreciated

Thanks in advance.

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Eugene

#2
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Cone

#3
More information to be added to the Working with Forex in Wealth-Lab

I'll do it later today... here's an abridged version:

Mixing Currency Pairs in a Backtest
Wealth-Lab will properly calculate P&L in USD for currency pairs like EUR/USD, GBP/USD, [ANY]/USD.

For any other cross rate (USD/JPY, USD/CAD, USD/CHF, USD/[ANY], [ANY] [ANY]), Wealth-Lab will not properly calculate forex profit in USD (or whatever your base currency is) because Wealth-Lab does not support multiple currencies. Mixing them in the same backtest is a problem because the Point Value (likewise the pip value) changes with respect to US Dollar based on the exchange rate. Although you can test these types of crossrates, you cannot mix them in the same backtest.