Back testing USD/JPY Forex

[vspy]

Can anybody tell me why ,when backtesting the Forex USD/JPY cross, the results of the backtest have erroneously high dollar results. All other currency pair results are fine. I am wondering if it is a programming glitch or setting problem.

[ACM]

vspy
FWIW I ran a back test of USDJPY A0-FX and of a custom spread created to invert the JPY (ie 1 / JPY A0-FX set to show 5 decimals) and the results seem to match the values on the chart (see images below).
The script used for the tests was BtMovingAverage.efs which is in the BackTesting subfolder of Formulas
You may need to provide more details as to how you performed the back test.
Alex

Originally posted by vspy
Can anybody tell me why ,when backtesting the Forex USD/JPY cross, the results of the backtest have erroneously high dollar results. All other currency pair results are fine. I am wondering if it is a programming glitch or setting problem.

[vspy]

Alexis, I am not sure why you converted the JPY to 5 decimals, but try running a backtest using btstochastics while using the default eSignal settings and let me know what your results are. What are the correct setting perimeters to use when backtesting the various Forex crosses?

[ACM]

vspy
I did that just to verify the backtest with a higher precision since for some reason the USDJPY symbol was returning only 4 decimals. Regardless I also ran the same test using the symbol USDJPY and the results were identical.
Before I run any further tests you may want to provide some details as to how you are performing your back tests ie symbol, interval, number of contracts, etc. It would also be helpful if you posted an image showing the results you are getting
Alex

[demarcog]

Alex,

I've noticed the same situation with the JPY A0-FX and maybe can
clarify the problem somewhat.

Getting meaningful results when backtesting equities is fairly straightforward. Default lot size is 100, when you have a 1.0 move your results will show $100 gross profit.

The problem is that when people trade say $100,000 in forex, each pip or tic value is $10 (and $100 for $1,000,000). When you use the same value used for testing the EUR, CHF, GBP with the JPY, the tic or pip values are 100 times as large, so I think that's what's happening here.

So I've simply adjusted the "default lot size" field in the backtesting menu to 100,000 for EUR A0-FX and 10,000 for the JPY.

[ACM]

demarcog
Try using the Point Value setting rather than the Lot Size
Alex