Backtesting Error - Getting a different Currency MC

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Backtesting Error - Getting a different Currency MC

Postby LordTwig » Sat Apr 27, 2013 8:13 am

Hi,
I am doing some backtesting on my strategy, using EUR/JPY only.
Everthing is working fine until I get a margin call caused by USD/JPY.
Like opened trades price of EUR/JPY is at 123.00
Then get a margin call because price of USD/JPY is at 94.00 which equates to 29.00 (2900 pips)
This occurs a couple of times

Why is this USD/JPY even appearing?.....

I have nothing in strategy about currency types and in backtest market data only EUR/JPY is marked to use.

Backtest glitch?.....

Screenshots attached see highlighted row......

History EUR-JPY Backtest Re-(USD-JPY) Create Margin Call - 27th Apr 2013.png


So here below you can see in the top left corner currency dropdown both EUR-JPY and USD-JPY are shown.
Also the history at the bottom shows both as well.
I don't know why the USD-JPY is shown as it is not selected in Market Data of strategy???
History EUR-JPY Backtest Re-(USD-JPY) Create Margin Call - 27th Apr 2013 No2.png
Cheers
LordTwig
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Re: Backtesting Error - Getting a different Currency MC

Postby Apprentice » Mon Apr 29, 2013 4:40 am

Without actual code, it is impossible to test, recreate this claim.
Can you post it here.
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Re: Backtesting Error - Getting a different Currency MC

Postby LordTwig » Tue Apr 30, 2013 6:33 am

Unfortunately the code is Proprietry, not for public or other eyes :)

But, can you tell me if the dropdown and history should be displaying the USD/JPY if only the EUR/JPY has been selected in market data.... :?:

Btw....
If I use only GBP/JPY then dropdown and history has also GBP/USD in them
If I use only EUR/GBP then dropdown and history has also EUR/USD in them
Like....is this a cross rates thing....as it does not occur when only USD/XXX rates are selected :?:

The account is in USD$....
TradeStation and Backtester Verion is :Ver 01.11.011212

Thanks
Cheers
LordTwig
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Posts: 157
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Re: Backtesting Error - Getting a different Currency MC

Postby Valeria » Fri May 03, 2013 5:45 am

Hi LordTwig,

But, can you tell me if the dropdown and history should be displaying the USD/JPY if only the EUR/JPY has been selected in market data.... ?


Backtester uses USD/JPY automatically, because this instrument is required for P\L calculation to trade on EUR/JPY. It occurs if your account currency is not in trading currency pair.
Valeria
 

Re: Backtesting Error - Getting a different Currency MC

Postby Valeria » Fri May 03, 2013 6:36 am

LordTwig, could you please send me an excel file with history log.
Export to Excel.PNG
Valeria
 


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