Positive forex analysis

What keeps me busy at this moment is researching Positive Forex...



I am considering to include it in my portfolio some time and to determine the appropriate weighting relative to the other systems, I need to reconstruct the daily returns series from the trades posted on C2. Although C2 has made it possible recently to download the returns series, I want to be able to generate my own (based on the trade entries and exits) for the following reasons:
- Positive forex seems to adhere to a constant position size, while I want to increase the position size as my account grows and decrease the position size when my account equity decreases. So I need to backtest the system where the position is a constant % of available equity.
- C2 supposedly does not take into account interest (swap) for forex positions, which I think is not very realistic as almost any forex account charges and pays interest.

So, these are the steps I need to take to accomplish this goal:
1. Download the free Gain forex quote data, inspect/clean it and transfer the tick data into daily data.
2. Download the trades from C2.
3. Construct an equity curve (daily returns) for the system using the data from step 1 and 2.
4. Modify the equity curve such that interest is included.

I'm now working on step 1. I downloaded the Gain data (1 Gig, 1,945 files zipped) with a script I wrote in VBA. I then wrote some R code that processes these files and turns them into .csv files with daily closing (bid-ask) prices (recorded at 4 pm EST, i.e. as close as possible to the time stock market closing prices are recorded). Next thing is to do some checks on the data, look for gaps, unusual spreads etc.
Step 2 is easy (as I am already used to download data from C2 for other systems) and for step 3 I can use most of the code I wrote earlier for stock systems.

I'll keep you updated...