TradeStation Help

Rollover Adjustment

Forex positions held overnight will have a rollover adjustment factor applied to the long position p/l and short position p/l at the end of each day to accommodate the differential in each country's daily interest rates. Each day has two rollover adjustment factors, one for long positions and another for short positions.

Strategy Backtesting

During strategy backtesting of forex symbols held overnight, an end-of-day long rollover adjustment factor is summed with the long p/l and a short rollover adjustment factor is summed with the short p/l for each day a position is held. This rollover value is updated at approximately 5:00pm EST and will adjust the p/l's on today's bars time stamped after the update time. For historical calculations from any day prior to today the rollover adjustment for any bar on that day will be that day's end-of-day rollover adjustment value regardless of the bar's time stamp.

EasyLanguage Reserved Words

The ShortRollAdj and LongRollAdj EasyLanguage reserved words are available to assist you in obtaining the forex rollover adjustment factor for any bar when writing custom rules that take roll adjustments into account. As with bar properties such as Date, Open, Volume, etc., the ShortRollAdj and LongRollAdj reserved words are bar properties that provide values both historically and real-time. When used without the optional BarsBack parameter the word returns the value for the current bar, and with the BarsBack parameter (enclosed in square brackets) it returns the value for that number of bars ago.