Week 4: Testing the Arb Trader Application in a Live Account

I’m nearly a week behind with posting updates to the progress of my testing of the time-based strategy on AUD/NZD and  EUR/CHF for the week of April 1st. As promised in last week’s post, the Eurodollar variant of the strategy has been dropped.

As far as the outstanding issues with the software and strategy  are concerned, I haven’t had a whole lot of free time this past week to investigate the issue where the TWS API is complaining about duplicate order IDs being issued by the application, but this still seems to be occurring with pretty frequent regularity, however it hasn’t affected the placement of entry and exit orders.   Also, the signals for this strategy are actually being updated by a TradeStation script, which the Arb Trader application then takes to place the orders with IB.  For whatever reason occasionally at midnight, TradeStation stops updating its active scripts with data, which in turn prevents the prices for the limit orders in TWS from being updated.  Since the strategy itself is pretty simple I would like to move the logic from the TradeStation script to Arb Trader itself, but will need to find some time to do this. 

On to this past week’s results


AUD/NZD

The 5 minute version of the strategy had another rough week in live trading, and I believe my initial suspicions have been confirmed that the 5 minute version of the strategy is not able to overcome the 3-5 tick bid/ask spread in this currency pair.  I finish off trading the 5 minute version this week, and if the results are consistent with the previous 2 weeks, then discontinue trading this version altogether.

The 60 minute version of the strategy squeaked out a small gain, but is still about 10 ticks in the red since testing began.

AUD/NZD – 5 minute – week of 4/1/12

Backtest Paper Trading Live Trading
# of Trades 47 10 21
Winning Trades 93.6% 70.0% 90.5%
Avg. Trade (ticks) 0.92 -5.59 -1.27
Total Profit/Loss (Ticks) 43.4 -55.9 -26.7

AUD/NZD –5 minute – Total (since 3/11/12)

Backtest Paper Trading Live Trading
# of Trades 80 26 39
Winning Trades 92.5% 84.6% 87.2%
Avg. Trade (ticks) 0.41 -2.82 -1.40
Total Profit/Loss (Ticks) 32.8 -73.4 -54.5

AUD/NZD – 60 minute – week of 4/1/12

Backtest Paper Trading Live Trading
# of Trades 17 14 11
Winning Trades 82.3% 78.6% 81.8%
Avg. Trade (ticks) 1.42 -0.59 -0.58
Total Profit/Loss (Ticks) 24.2 -8.2 6.4

AUD/NZD –60 minute – Total (since 3/11/12)

Backtest Paper Trading Live Trading
# of Trades 69 57 53
Winning Trades 84.1% 79.0% 81.1%
Avg. Trade (ticks) 1.38 -0.45 -0.19
Total Profit/Loss (Ticks) 95.0 -25.4 -10.0

EUR/CHF

The 5 minute version of the strategy finished just a hair above zero this week, and is up about 11 ticks since testing started, while the 60 minute version had a robust week with a 14 tick gain.

EUR/CHF – 5 minute – week of 4/1/12

Backtest Paper Trading Live Trading
# of Trades 72 23 22
Winning Trades 88.9% 95.7% 95.4%
Avg. Trade (ticks) 0.22 -0.08 0.03
Total Profit/Loss (Ticks) 13.6 -1.9 0.6

EUR/CHF – 5 minute – Total (since 3/11/12)

Backtest Paper Trading Live Trading
# of Trades 127 52 59
Winning Trades 92.1% 92.3% 98.3%
Avg. Trade (ticks) 0.36 -0.09 0.19
Total Profit/Loss (Ticks) 45.9 -4.5 11.1

EUR/CHF – 60 minute – week of 4/1/12

Backtest Paper Trading Live Trading
# of Trades 28 10 14
Winning Trades 89.3% 100% 92.9%
Avg. Trade (ticks) 1.09 2.26 1
Total Profit/Loss (Ticks) 30.4 22.6 14

EUR/CHF – 60 minute – Total (since 3/11/12)

Backtest Paper Trading Live Trading
# of Trades 59 52 63
Winning Trades 86.4% 88.5% 87.3%
Avg. Trade (ticks) -0.50 -0.22 -0.23
Total Profit/Loss (Ticks) -29.5 -11.5 -14.6

Twitter: @LimitUpTrading
Twitter: @RobTerp

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