Registered: Jan 2009
09-30-12 05:04 PM
I've been trying to hand calculate some backtest results from Amibroker when doing a 100:1 margin spot forex test. This is the best I can come up with for some of the results. I have questions about most of it so I hoped some regulars can help me out.
Let's say I'm looking at EURUSD. On the day I enter a long position, it is going at $1.21800. So I need $1.21800 dollars to get a euro. However, it trades in lots of 100 as its base. So I need $121.80 dollars to get 100
euros. But the base currency is USD so I basically pay $100.00 to get, like 82.10... euros.
I want to enter $100k into the long position, using 100:1 margin. Here's where I get confused . The Amibroker instructions are to enter a margin deposit of 1,000 for 100:1, but I would have figured 100. When I did my math with just 100, it didn't work, and I had to enter 1,000. So we'll continue with that and maybe change this story later if somebody comments otherwise.
First, how many contracts can I do with that? with $100,000 I assume $100,000 divided by 1,000, which is 100 contracts. But due to some commissions at most I can reason is 99 contracts.
Say EURUSD goes up a pip. So it's now $1.21801. My profit would be:
99 * (1.21801 - 1.21800) * 100 * 1000 = $99. Just raking it in there. (It's just for this situation. )
Note that none of this factors in the bid/ask spread. I may be asking about that next.
Is all this right? Any idea why with the margin it's x1000 instead of x100? Right now my own math correlates to amibroker backtest results with these numbers, but only because of these numbers.