Multi Currency Solution
Author: therooster
Creation Date: 5/11/2011 6:16 AM
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Hi all

I am considering how to backtest a portfolio of 4 FX spot markets with a USD account in weathlab.

GBPUSD & EURUSD are straightforward.

As I understand it, WL is a single currency platform so my thinking is to take those currencies where USD is the base (e.g. USDCHF, USDJPY) and invert the price series in Excel to get USD denominated price series that I can upload into WL.

Does this make sense or is there an easier way to do it?

Thanks for any assistance.


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Hi Roy,

Hope this thread offers an insight: Normalize on USD
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Thanks Eugene, very helpful.

I'll get my thinking cap on!
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I stumbled upon this old thread and I would like to add that our BTAnalytics application offers a simple solution to the problem of multi-currency simulations.

Read this article about Multi-Currency Simulations to discover how easy it is with BTAnalytics to combine strategies that operate with instruments denominated in different currencies.


Carlos pérez
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