Posted By: scatters
Zorro Cross Margin for FX Question - 08/31/22 18:03
Hi,
I have a question when running an FX strategy on a basket of FX pairs with an initial deposit in USD.
//while(asset(loop("EUR/USD", "AUD/CAD", "EUR/NZD", "GBP/AUD", "USD/JPY", "GBP/JPY")))
how does zorro correctly calculate the proper cross margin if I am trading in USD or my original balance is in USD?
for example
How should we adjust our asset file so the backtest is correct for trading a basket of currency, do we need to make the pip cost dynamic in the asset file, or is this already done?
I have a question when running an FX strategy on a basket of FX pairs with an initial deposit in USD.
//while(asset(loop("EUR/USD", "AUD/CAD", "EUR/NZD", "GBP/AUD", "USD/JPY", "GBP/JPY")))
how does zorro correctly calculate the proper cross margin if I am trading in USD or my original balance is in USD?
for example
How should we adjust our asset file so the backtest is correct for trading a basket of currency, do we need to make the pip cost dynamic in the asset file, or is this already done?