MOC System Cash Balance

[RobGiles]

One of the things that does my head in every month is working out the balance in my US MOC system. My cash is all in AUD, but I’ve been position sizing off a notional USD balance. Of course, as the AUD falls, this means I actually have less USD to trade, but IB won’t allow me to convert my AUD to USD so that risk is eliminated. Its a complete HF every month to work out what P&L I’ve earned in % terms as the underlying notional USD amount is always moving. Would be interested as to how others manage this.

[Nick Radge]

I would keep it as simple as possible.

When we ran the fund we only did the currency conversion once a month unless there was some extreme move.

Account balance in AUD > start of month calculate USD > position off that for the month.

Adjust again for next month.

[RobGiles]

Nick Radge wrote:

I would keep it as simple as possible.

When we ran the fund we only did the currency conversion once a month unless there was some extreme move.

Account balance in AUD > start of month calculate USD > position off that for the month.

Adjust again for next month.

Thanks Nick
So when calculating the monthly system retrn %, one converts their USD P&L to AUD at the month end spor rate and expresses that number as a % of the AUD account balance?

[Nick Radge]

Yes. If you’re reporting in AUD then it needs to come back at month end to AUD.

[RobGiles]

Does anyone in here report there US systems in USD? i.e. did anyone convert AUD to USD to fund their US systems, whatever system that may be?

For my Momentum system, I’ve been reporting in USD which is fine if the system is invested, but over the past couple of months where I was 100% cash, my USD exposure is less due to the bearish AUDUSD (i.e. my AUD buys me less USD stocks). So that’s a negative return in USD. Is the alternative to convert my base currency to USD?

[Nick Radge]

All my reporting is done in the system currency – mainly because I did convert to USD. I have effectively been short the AUD for the last year.

[MichaelRodwell]

Nick does this mean your account holds USD when flat? You’re not forced to convert back to Aussie?

[Nick Radge]

That’s right. It’s all in USD. At this stage I have not been forced to make any changes to my account structure.

[Nick Radge]

Take a look at this post Rob. Might make it a little easier:

https://edu.thechartist.com.au/kunena/progress-journal/519-cftc-performance-tables.html

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