Automatic Exchange Rate Conversion for International Futures

The Set Exchange File is used to establish the relationship between currencies and a matching overseas futures contract quoted in that currency. The ‘min move’ and the ‘min move value’ of a futures contract are quoted in its native currency.

The only way to correctly analyze a portfolio with mixed US and overseas futures contracts is to convert the current equity into US Dollars on a bar by bar basis. When you have completed setting the conversion method, the conversion method is set to run behind the scenes and allows you to combine sessions and trading plans with futures from different countries and correctly have your account value and equity curve converted back to US dollars.

This feature is not available in most of the popular backtesting programs like TradeStation^® or Metastock^®, it is only available in high end professional platforms, while TradersStudio^® Professional has it at a fraction of the cost.