I want to backtest 3 different futures:
1.SSI Nikkei 225 Index(Combined)-SGX(SIMEX) JPY
2.SSG MSCI Singapore Stock Index-SGX(SIMEX) SGD
3.SP S&P 500 Index-(Floor Trading Only)-CME USD
They have diffenent currencies.
How to backtest rotational system on many currencies of futures?
Does amibroker has currencies setting for future mode?
Below is my code for rotaional system:
//Compute a score based on the recent Rate of Change
//of the closing price
//
//Rotate among the nine s&p sector ETFS
//
SetOption("InitialEquity", 1000000);
SetOption("MaxOpenPositions",1);
SetBacktestMode( backtestRotational );
SetOption("AllowPositionShrinking", True );
NumberHeld=1;//Optimize("NumberHeld",1,1,10,2);
//Allocate funds equally among all issues
PositionSize = -100/10;
NumberExtras = 0;//Optimize("NumberExtras ",0,0,10,2);
WorstRank = NumberHeld + NumberExtras;
SetOption("WorstRankHeld",WorstRank);
LookBack = 171;//Optimize("LookBack ",1,1,200,10);
UpDown =1;//Optimize("UpDown ",2,1,2,1);
//Value of 1 allows short positions
//Value of 2 blocks short positions
AllowShort =2;//Optimize("AllowShort ",1,1,2,1);
Multiplier=1;//IIf(UpDown==1,1,-1);
Score = Multiplier*ROC(C,LookBack);
PositionScore = Score;
Thank you very much.