Group Collaboration System Ideas

[LeeDanello]

Julian Cohen wrote:

I’ll give it a try. If I am doing an ASX test I manually adjust the commission rate in the table. I was using the US commissions for the ASX but I’ll try with the correct one and see how it goes.

That’s where it goes wrong with the ASX. The minimum is 0.5c per share or a minimum of $1 for US and a flat fee of $6 for Aussie stocks. By using US commissions on ASX stocks will cause commission drag and render the system useless.

[Anonymous]

Maurice Petterlin wrote:

Julian Cohen wrote:

I’ll give it a try. If I am doing an ASX test I manually adjust the commission rate in the table. I was using the US commissions for the ASX but I’ll try with the correct one and see how it goes.

That’s where it goes wrong with the ASX. The minimum is 0.5c per share or a minimum of $1 for US and a flat fee of $6 for Aussie stocks. By using US commissions on ASX stocks will cause commission drag and render the system useless.

As Nick pointed out earlier… I also forgot the reset the currency to AUD

[JulianCohen]

So should you change the base currency between USD and AUD as well as the commission rates when you switch from US to AUS markets?

[Nick Radge]

Quote:

So should you change the base currency between USD and AUD as well as the commission rates when you switch from US to AUS markets?

Yes.

I do not code any comm’s, leverage or anything into the system code. I make a habit of switching comm’s and currencies when I work on a system.

You don’t need to do it when generating orders via the Explorere – only when you’re testing.

[LeeDanello]

I would do both. I’ve had issues with the backtester when the base currency was different.

[TrentRothall]

how does the currency effect results? doesn’t make sense to me, I mean it isn’t taking FX exchange into account is it? :S

[ScottMcNab]

I’ve spend the day thinking about it too but haven’t been able to work it out either

[TrentRothall]

I thought it was more for live trading from amibroker, but obviously not

[LeeDanello]

I’ll try and reproduce the issue I had

[SaidBitar]

Regarding FX exchange I think it does not make sense to worry about it, since you are testing the performance of a strategy and when you are setting the capital it is supposed to be in the local currency of the exchange that you are going to trade.

In real life may be it will be different but again I believe the aim is to test the strategy

theoretically you need to care about it in case you are backtesting one system that trades 2 or more markets at the same time, for example stocks in US and Bonds in Aus.

[TrentRothall]

Probably good practise anyway to change it

[LeeDanello]

This is what happened when I had the wrong base currency when I tested on the US

And when I changed it to the right currency the backtest started in the right year

This is what Richard Dale wrote to me “AmiBroker will attempt to perform FX rate conversion using your base currency”

[JulianCohen]

If Amibroker will attempt to convert when you use a different currency then if you set the AUD/USD exchange rate as 1:1 then you shouldn’t have to worry about changing them when testing different markets. That way it should always be producing a correct result. Does that make sense or am I missing something?

[Stephen James]

A backtest will only go back to when the currency pair in use has data. For example the AUD/USD data starts in early 1991, EUR/USD starts in early 1999, GBP/USD in early 1991 and so on.

[LeeDanello]

Julian Cohen wrote:

If Amibroker will attempt to convert when you use a different currency then if you set the AUD/USD exchange rate as 1:1 then you shouldn’t have to worry about changing them when testing different markets. That way it should always be producing a correct result. Does that make sense or am I missing something?

It’s obviously a check that Amibroker does in case you want to use some sort of currency conversion in your backtesting so if you don’t get that right it can screw up your backtest start date.

[Author]

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