FX取引の損益計算の方法

[pixcelo]

note https://note.com/whakamarie/n/ne45f60d1b9bf

[pixcelo]

def calculate_pl(self, symbol, position, lot_size, entry_rate, exit_rate, spread, usd_jpy_rate=146):
        if position == "long":
            entry_rate_with_spread = entry_rate + spread
            exit_rate_with_spread = exit_rate
            diff = exit_rate - entry_rate_with_spread
        elif position == "short":
            entry_rate_with_spread = entry_rate
            exit_rate_with_spread = exit_rate + spread
            diff = entry_rate - exit_rate_with_spread
        else:
            raise ValueError("Invalid position type. Choose 'long' or 'short'.")

        # For pairs like EURUSD
        if symbol[-3:] != "JPY":
            return lot_size * diff * usd_jpy_rate

        # For pairs like USDJPY
        elif symbol[:3] == "USD":
            return lot_size * diff

        # For cross currency pairs like EURJPY
        else:
            return lot_size * diff * entry_rate_with_spread

[pixcelo]

version2

def calculate_pl(self, symbol, position, lot_size, entry_rate, exit_rate, spread_points, usd_jpy_rate=146):
        # Convert spread from points to pips
        if symbol[-3:] == "JPY" or symbol[:3] == "JPY":
            spread_pips = spread_points / 100  # e.g., for pairs like USDJPY
        else:
            spread_pips = spread_points / 10000  # e.g., for pairs like EURUSD (5=>0.0005)

        if position == "long":
            entry_rate_with_spread = entry_rate + spread_pips
            exit_rate_with_spread = exit_rate
            diff = exit_rate - entry_rate_with_spread
        elif position == "short":
            entry_rate_with_spread = entry_rate
            exit_rate_with_spread = exit_rate + spread_pips
            diff = entry_rate - exit_rate_with_spread
        else:
            raise ValueError("Invalid position type. Choose 'long' or 'short'.")

        # For pairs like EURUSD
        if symbol[-3:] != "JPY":
            return lot_size * diff * usd_jpy_rate

        # For pairs like USDJPY
        elif symbol[:3] == "USD":
            return lot_size * diff

        # For cross currency pairs like EURJPY
        else:
            return lot_size * diff * entry_rate_with_spread