Hi all, Is there a good proxy to use as input for backtesting for dollar strength or weakness? I know very little about the available instruments. I do watch the DXY Bloomberg dollar spot index to help understand the impact on foreign stock position pricing.
https://www.bloomberg.com/quote/DXY:CUR
Again, I know very little about currency trading or anything of that nature, just looking for a way to backtest rising or falling dollar as a factor input to see if it has predictive value. thanks in advance,
This would be a great use case for ETF data in custom series (which we can’t do). The currency ETFs might provide some useful info if we could access them.
Ah, but you can use GetSeries with ETFs, index tickers, and custom series to perform some math within the rules. In screens, you can use ShowVar or SetVar to set variable values based on these and then use the variables in math statements. In ports, the math needs to be done without the use of ShowVar or SetVar because (unless I am wrong) rules are processed in parallel instead of serially. And we can’t use some of the fed series yet (those not historically available point in time, I think).
Here’s a screen calculation that used a defunct (now delisted) ETF named OIL and an active ETF called UUP, along with the S&P 500 yield series to calculate a 60 bar average 20 bars ago, modified with the S&P yield 60 bars ago. It was part of a larger calculation that attempted to adjust crude oil cost (OIL) to the value of the dollar (UUP), then add a value from S&P yield to provide a snapshot of data that I found helpful in a market timing test calculation (not used now).
ShowVar(@OilTest60,-IsNA(sma(20,60,GetSeries(“OIL”))/sma(20,60,GetSeries(“UUP”)),1)+1.0+2.0*IsNA(Close(60,#SPYield)/100,0.125))
It would be great if the custom-series tool were more general purpose.
Because it works against a universe of stocks, calculations, like that shown above, I suspect are repeated recalculated even though they always yield the same answer (unless there’s some kind of memoization going on). That seems a bit wasteful of compute resourses. However, I often do the same thing. Sometimes I want to calculate a series that has components that work against a universe of stocks while other components do not.
I hope P123 will say that I’m mistaken.
Walter
regallow, thanks for the tip. I was unaware of UUP.
So if I’m understanding properly, something like Close(0,GetSeries(“UUP”))/Close(240,GetSeries(“UUP”)) or some variation could serve as measure of currency rise/fall/ momentum. I’ll have to try that. Thank you again, 
Hey Spaceman, all of the ETFs should be available and UUP is only one of several currency related ones, so check them to determine which ones appear most appropriate for what you want to measure. Also, the ETFs vary in lifespan, so unless one is artificially extended it may only provide a few years of data. They will not be perfect measures of currency or commodities or whatever, but hopefully better than nothing.
Thanks, I compared UUP with the Bloomberg DXY that I’d been watching and the general shape of the price graph seemed to track pretty similarly. UUP seems to go back to 2007 which gives me a good bit of time to work with.