Currently ArbMakerPlus can be used to test any pair of financial time series. However, its back tester is designed to handle equities only. Derivative instruments will be treated as though they were unleveraged which means their profit and loss (P&L) reporting will not be correct. The next upgrade in May will see the back tester enhanced to handle foreign exchange P&L reporting.
However, signals generated in the back tester for forex by user-defined strategies will all be valid right now. Thus until the upgrade users can still run fx pairs in the back tester but this adjustment in the commissions section inside the ‘Symbols Management’ screen must be made first:
- Click “Com. Pricing”
- Click “Add New Com. Pricing”
- Make the selections from each pull down in the red rectangle below (click to enlarge the graphic)
This creates proxy commissions for forex that, while not accurate, allow forex signals to be back tested if not their profitability.