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February 2009 Stocks and Commodities Traders Tips


Trading the Aussie

Original article by Markos Katsanos
AIQ Code by Richard Denning
Traders Studio Code by Richard Denning

AIQ Version:

The AIQ code for the forex intermarket BB divergence system in the article, “Trading the Aussie” by Markos Katsanos, is shown below. Although AIQ software has its strongest features in area of stock groups and portfolio level testing, forex can be set up in AIQ and tested with the EDS module and Portfolio Modules. There is no special set up for a forex data type but forex can be set up as a stock.

The back test results are shown as percent changes in price in the EDS module and the contract size, pip values, and interest rates are not taken into account. To convert the test results to dollars we would need to export the EDS trades to Excel and then calculate the actual dollars earned as well as the debit and credit interest manually using the spreadsheet as did the author. We can run a simulation in the Portfolio Manager and get a non-compounded consolidated equity curve on a one contract basis as shown in Figure 1. This equity curve is without the debit and credit interest which comes to a net credit of $5,000 to $6,000 for this period on a one contract basis. Forex offers extreme leverage of 40 to 1 or more depending on the broker. Since the Portfolio Simulator was designed for stocks, it only allows for 2 to 1 leverage. To work around this, I ran the simulation with 1 to 1 leverage, and then after the simulation completed, I changed the initial deposit via the journal tab down to $5,000 from the original $100,000. This simulated trading with 20 to 1 leverage. To simulate the contract size of $100,000, I set the initial capital to $100,000 and did not compound the results so that each trade represents trading a single $100,000 contact.

The data for AUDUSD, EURJPY, XAU and CRB can be downloaded from AIQ’s data service using these symbols but the data for the YTC futures may need to be obtained from other sources and then imported via the DTU import utility. I had to get the YTC data file from the author as I was unable to find them in any of my current data subscriptions.

Figure 1: Simulated equity curve trading the AUD/USD using AIQ’s Portfolio Manager shown without commission, slippage, nor debit and credit interest using 20 to 1 leverage.

AIQ EDS Code for Trading the Aussie:
AUSSIE Sys1.EDS

AIQ Aussie Data (zip file):
AUSSIE Data AIQ.zip



Traders Studio Version:

The TradersStudio code for Markos Katsanos’s article, “Trading the Aussie” is shown below. The TradersStudio software provides specifically for the particulars involved in accurate system testing for forex trading. In Figure 2, I show the data setups that I used for the my AUDUSD data. There are two places where the settings are input. In the Data Manager, the data universe must be set to match the data being used. Some forex data is out to 5 decimal places while most is four decimal places. It is important to get this right in the data universe. I used four decimal place data and so the Pip is set to 0.0001 and the value of one Pip for the AUDUSD is 10 when the lot size is 100,000 USD. Also in the Data Manager, the Forex Map (shown as the bottom part of Figure 2) must be configured as shown. By reading the Base and Quote interest rate files, the software is able to compute the interest earned or charged on each forex trade. Table 1 shows part of two reports that are standard with TraderStudio. The upper portion, titled “Trades for Session”, shows how each trade has the interest calculated and then added to the profit or loss from the change in the price to get the actual adjusted trade profit or loss. The report at the bottom of Figure 2, titled “Trades in PIPs”, is a report unique to forex which shows the number of PIPs gained or lost on each trade.

Traders Studio code for Trading the Aussie:
AUSSIE_TSZ.zip

Traders Studio Data Files for Aussie
AUSSIE Data Files.zip

Traders Studio Forex Rates
FOREX_RATES.zip

 

 

 

 

 

 

 

 

 

 

 

 

 

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