Weekly Update 9/30/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

10 10 2012

I’m a few weeks behind on updating the results of the strategy as I prepared a presentation for the JavaOne conference which took place this past week.  In the meantime, the AUD/NZD version of the strategy has taken a serious beating, erasing almost all the gains since the system started trading in March. The strategy was also stopped out during the week when it hit its 100 pip stop loss.  When this event happens all other strategies will cease trading as well (EUR/DKK), until manually started again.  This is to ensure that some crazy event doesn’t take all the other strategies down with it.

This week’s number are below. All results include commission.


Week of 9/30/12

AUD/NZD EUR/DKK
# of Trades 18 14
Winning Trades 61.1% 85.7%
Avg. Trade (Ticks) -10.33 +1.18
Total Profit/Loss (Ticks) -185.9 +16.5


Total since inception

AUD/NZD* EUR/DKK**
# of Trades 485 156
Winning Trades 77.3% 87.8%
Avg. Trade (Ticks) +0.04 +0.79
Total Profit/Loss (Ticks) +20.3 +123.7

* 3/11/12
** 7/22/12

Due to the large drawdown that the AUD/NZD strategy is experiencing, I have implemented an equity curve filter on the strategy so that it remains out of the market until performance improves.  An equity curve filter takes the average cumulative gain/loss over the last 100 trades, and compares it to the current gain/loss amount of the strategy.  If the current amount is less than the average, then the system stays out of the market.  Below is a chart showing the current equity curve in blue, and the 100 trade average in red.  The y-axis units are number of ticks the strategy has made/lost.  As you can see the current equity curve in blue has fallen well below its 100 trade average.

 

image

 

Update on Progress of the Arb Trader Application


Currency Strategy

Upcoming bug fixes and new features

  • ArbTrader now has the ability to add multiple accounts and data providers, whereas previously, everything was hardcoded.
  • A JavaFX chart component now has been added to the application, which I will be adding the graph (above) to the AUD/NZD strategy tab.

End-of-Day ETF arb strategy

No updates are planned for this strategy this week.

Intraday ETF arb strategy

  • Continue monitoring 4 pairs in the paper trade account.

Twitter: @LimitUpTrading
Twitter: @RobTerp

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2 responses

29 10 2012
Ken

Good stuff, Rob – in fact, this month’s (Nov 2012, p54) Futures magazine has an article about just that, making [different] trading adjustments based upon one’s equity curve. It’s certainly a nice way to keep the forest in view.

29 10 2012
rterp

Thanks Ken,
I should have a blog post up in the next few days regarding some stats on the filter vs. unfiltered trades for the AUD/NZD strategy as well as the resulting equity curve.

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