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Currencies in backtest

Open eirik-thorp opened this issue 1 year ago • 1 comments

Introducing currencies in the backtest:

  • Each ticker and future contract now has a designated currency parameter.
  • Backtest porfolio has a designated currency.
  • Transactions are transacted in the ticker currency and the net liquidation of the portfolio is recorded in the portfolio currency by converting transaction costs and P/L using a set of currency exchange tickers.

eirik-thorp avatar Jun 03 '24 13:06 eirik-thorp