Not logged in
Viewing 9 posts - 1 through 9 (of 9 total)
  • #116272 |
    Customer
    10 Posts

    Hi

     

    Can anyone tell me how the “point value in $” is calculated for different currency pairs?

     

    it seems like this number can change over time, so the suggested numbers in the link below may not be useful?

     

    https://pages.strategyquant.com/strategyquant-data-setting/

     

    thanks

     

    #141343
    Moderator
    1559 Posts

    Hello,

     

    you always need to use the current market rate to get the point value in USD for non-USD pairs

    Let’s say you need the point value for EURCAD. It is 100,000 CAD of quote currency. Since the current CADUSD rate is 0.764 at the moment, the point value to set in SQ is 76,400 USD

    #141347
    Customer
    10 Posts

    thanks tomas good info

    #141348
    Customer
    10 Posts

    tomas

     

    whenever we update this point value in the symbols to reflect changes in the pairs, do we then need to import data all over again?

     

    thanks

    #141369
    Moderator
    1559 Posts

    Hello,

     

    no need to re-import the data. But if you update the point value it will affect strategy results later when testing

    #141392
    Participant
    11 Posts

    OK this topic is exactly what I have been wondering about. I am currently developing strategies for USDMXN. Upon the first run I immediately realized that something was wrong when I saw strategies that would return millions of dollars over the last 10 years. So, I identified 2 issues with my data setup: 
    1. Point value was set at $ 100,000. All my research led me to believe it should be 100,000 * (1/20.48) = $ 4881 (approximately)

    2. Spread was set at 3. Looking at many dealers it moves between 10 and 20 pips. So I set it to 15 pips.

     

    Can anybody here please confirm or correct?

    #141402
    Moderator
    1559 Posts

    Hello,

     

    are you sure about trading USDMXN? With such HUGE spread most of your profits will be eaten by your broker

    #141411
    Participant
    11 Posts

    Hi Tomas,

     

    yes, I know, it can only work with low spread brokers. Actually I found out that it varies a lot. During the busy hours it can be around 6 pips. Also note that I already had the suspicion that this pair would not be a major earner. But, as I like to say: every little bit helps.

    But just to be sure: was my computation of point value for USDMXN correct?

    I set it to 4881.

    #141456
    Moderator
    1559 Posts

    Yes, since USDMXN represents 100,000 MXN which is about 4881 USD considering the current FX rate

Viewing 9 posts - 1 through 9 (of 9 total)

You must be logged in to reply to this topic.