Profit calculation

Hello Wei, 

did you consider the spreads when you manually calculated the profit?

Otherwise, please attach a backtest so we can give further assistance. 

Regards, 

Arthur 

Hello Arthur,

I cannot recreate exact backtest, attached is another example where "net profit" is shown as 72.6, no fees , no unrealized,  however, my calculation from "Orders" is 93.7. I would have thougtht "orders" value already take into account the spreads? I used MarketOrder for long (positive unit) and short (negative unit), and Liquidate() for closing all positions. 

Below is the orders:

Fill: $1.30955 USD

Fill: ¥103.947 JPY

Fill: $1.25765 USD

Fill: ¥104.657 JPY

Hello Wei, 

you're right that spreads are already taken into account in the fill prices of the order list. Just wanted to say that spreads are not part of the fees and that's why you see fees = 0,00 USD. 

However, I've an idea where the difference comes from. 

You've calculated a Profit of 93.7 USD where 72.4 came from the GBP/USD trade and 21.3 from the USD/JPY trade. But you need to convert the profit from your USD/JPY trade to USD currency since it's generated in JPY (see screenshot). 

So you actually have: 

72.4 USD + 21.3 JPY = 72.4 USD + ( 21.3 JPY * 104.657 USD/JPY) = 72.4 USD + 0.2 USD = 72.6 USD

which is exactly the displayed net profit value of your backtest.

So remeber to convert back to your base currency (USD). 

The orders summary also show that the profit of the USD/JPY trade is made in JPY (see screenshot). 

One more addition: Since QC supports only USD as account base currency I guess QC internally always convert the profit/loss when you close a FX position. If you have a multi-currency account (for example at IB), you would see something like this: 

where the Total value is calculated by the current USD/JPY exchange rate. 

Thanks Arthur, that make sense