NexusFi: Find Your Edge


Home Menu

 





Back-testing FOREX instruments - problems with Performance Report


Discussion in TradeStation

Updated
    1. trending_up 1,957 views
    2. thumb_up 0 thanks given
    3. group 2 followers
    1. forum 2 posts
    2. attach_file 1 attachments




 
Search this Thread
  #1 (permalink)
trickortrade
London
 
Posts: 3 since Aug 2017
Thanks Given: 9
Thanks Received: 0

In recent weeks I have been developing several trading strategies using TS.

Thus far, I have been using futures contracts as the testing instruments such as ES, YM and then also currency futures such as EC, AD or JY. I am now trying to run the strategies on currency spot instruments such as EURUSD or AUDUSD.

With the futures contracts, I have used bigpointvalue in my code. I changed this to bigpointvalue*100000 to get the position sizing correct.

The strategies appear to work correctly on the spot instruments - the entries and exits are working as expected when looking at the chart. However the profit/loss from the trades are not calculating correctly - thus the trading strategy performance report is meaningless. Is there some type of setting I need to change somewhere for this to work?

Thanks in advance,
George


Attached Thumbnails
Click image for larger version

Name:	Performance Report Problem.jpg
Views:	271
Size:	369.0 KB
ID:	242111  
Reply With Quote

Can you help answer these questions
from other members on NexusFi?
Penalties in Budapest, Peace Deadline in Tehran: Arsenal …
Prediction Markets & Event Contracts
Thursday May 28: GDP + Core PCE + Jobless Claims All at …
Traders Hideout
No book, only a stair: journaling fills where price move …
Cryptocurrency
Iran Deal "In Review" at 87% on Deadline Day - …
Prediction Markets & Event Contracts
The June 15 Resolution Trap: Irans Agreed Text Still Pri …
Prediction Markets & Event Contracts
 
  #2 (permalink)
 choke35 
Germany
Market Wizard
 
Experience: Intermediate
Platform: Other
Trading: ES, YM, 6E
Posts: 2,622 since Feb 2013
Thanks Given: 5,101
Thanks Received: 6,558


trickortrade View Post
In recent weeks I have been developing several trading strategies using TS.

Thus far, I have been using futures contracts as the testing instruments such as ES, YM and then also currency futures such as EC, AD or JY. I am now trying to run the strategies on currency spot instruments such as EURUSD or AUDUSD.

With the futures contracts, I have used bigpointvalue in my code. I changed this to bigpointvalue*100000 to get the position sizing correct.

The strategies appear to work correctly on the spot instruments - the entries and exits are working as expected when looking at the chart. However the profit/loss from the trades are not calculating correctly - thus the trading strategy performance report is meaningless. Is there some type of setting I need to change somewhere for this to work?

Thanks in advance,
George

If you use crutches like replicating 6E trades via EURUSD, you should start at least with a correct multiplier -
which is 125000 in that case ...


Reply With Quote
  #3 (permalink)
trickortrade
London
 
Posts: 3 since Aug 2017
Thanks Given: 9
Thanks Received: 0



choke35 View Post
If you use crutches like replicating 6E trades via EURUSD, you should start at least with a correct multiplier -
which is 125000 in that case ...

Yes, of course, thanks for pointing that out.


Reply With Quote




Last Updated on October 2, 2017


© 2026 NexusFi®, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Downloads - Top
no new posts