jcl: actually they do use the exchange rates for pnl - im sure traders would appreciate it even less if FXCM came up 4% short in their account like in this example. I certainly wouldnt.

I did never trade with fxcm, but Oanda, IB and lmax do it like that (and everyone else i suppose). What happens behind the scenes is that you pnl will stay in USD for 2 days and then settles in your account currency. You can google "tomorrow-next" for settlement conventions in fx.

If you do a 10 year backtest, the exchange-rate in eur/usd varies by 60%, its anywhere between 1 and 1.60. You cannot just assume a static eur to usd conversion factor, the pnl of the simulation will invariably be off significantly.

I have tried quite a few of the more well knowen affordable backtesting platforms (ninja, neoticker, multicharts and so on) and none can really do multi-currency backtests. Let alone account for rolls, so one could simulate carry-trade strategies. It would be nice if Zorro could somehow come up with a wholistic solution to this.