Does cAlgo use the Quote/Home rate at the time of the backtest or the time of the quote?

Created at 06 Sep 2014, 07:29
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cbellew

Joined 24.04.2014

Does cAlgo use the Quote/Home rate at the time of the backtest or the time of the quote?
06 Sep 2014, 07:29


Hello,

In this post I will use the following terms:

  • When I say QUOTE I mean the currency on the right hand side of the symbol. For example in GBPCAD, the QUOTE is CAD.
  • When I say HOME, I mean the currency that my broker's account is measured in. In my case AUD because I am in Australia.

This is my problem:

I have run a 2 year backtest in cAlgo and it has made almost 4,000 trades.

I was just checking the profit calculation that cAlgo has done and it seems the QUOTE/HOME rate it uses is constant for all the trades regardless of the opening time of the trade. The rate it has used appears to be the rate at the time I ran the backtest, not the rate at the opening time of the trade.

To simulate the trade correctly I would expect cAlgo to determine what the QUOTE/HOME rate was at the time the trade was opened and use this when calculating the profit of the trade. This would give an accurate representation of the bot's performance, had it been run in real time.

Please could you let me know if this is the case. If so, do you intend to fix this inaccuracy? Of course, if I have made an error in my calculation then I apologise and would be grateful if you could point out my mistake.

Thanks in advance for your help.

Chris

 

 


@cbellew
Replies

Spotware
08 Sep 2014, 10:21

Dear Trader,

We convert Quote to Home using rates at the time you run the backtesting. We do not plan to change this functionality in the future. We can recommend you to post an idea to vote.spotware.com. If it collects enough votes, we will consider to implement it.


@Spotware

cbellew
09 Sep 2014, 14:01

I have create a vote for this fix. Please if you are reading this post then vote for this to be fixed. Many thanks.

http://vote.spotware.com/forums/229166-ideas-and-suggestions-for-ctrader-and-calgo/suggestions/6413231-make-profit-and-commission-calculation-of-backtest


@cbellew

RogueRaider
21 Jun 2015, 07:58

I'm going to bump for this to be included. The accuracy needs to be as precise as possible. Hopefully it gets some attention soon.


@RogueRaider

deansi
25 Mar 2017, 13:11

RE:

cbellew said:

I was just checking the profit calculation that cAlgo has done and it seems the QUOTE/HOME rate it uses is constant for all the trades regardless of the opening time of the trade. The rate it has used appears to be the rate at the time I ran the backtest, not the rate at the opening time of the trade.

Can someone elaborate on what this roughly equates to in dollars?

Like for example on EURUSD my broker comission is equivalent to about 0.6 to 0.7pips, or $28USD per million (or 10 lots)

What kind of numbers are we talking about for this QUOTE/HOME rate?, and if I understand it right the backtests DONT include this expense and hence are making the backtest results look better than they really are?


@deansi