Multi-instrument strategy with Yen and non-Yen forex pairs

[adamus]

Hi,

I'm putting together a strategy to run on several forex pairs including Yen pairs like EUR/JPY and non-Yen pairs like EUR/USD.

In the strategy analyzer backtesting results though I am seeing the profit and loss is recorded 100 times greater than it should be. This applies to currency, percent or points display.

I read over the forum and see other people have had this issue but it's not clear what I have to do here.

I set up a Market Analyzer including the forex pairs but it seems that has no effect here.

What do I need to configure to sort this one out?

Thanks

[NinjaTrader_Bertrand]

Correct adamus, this would be unfortunately expected, the backtesting Pnl would not be converted over - this would only apply to live seen executions where the needed crossrate for conversion was streamed in prior - you can verify by checking the conversion rate shown of the execution in your Control Center.

[adamus]

There's no work-around to get proper results from a multi-instrument strategy backtest then?

I suppose I could cut the position size of the yen pairs by 100.

[NinjaTrader_Bertrand]

Correct adamus, for historical data you would need to custom convert the pnl for those markets unfortunately.

[adamus]

OK. Seems a bit hairy but I can live with that.