Week 5: Testing the Arb Trader Application in a Live Account

Here’s the latest update for trading the week of April 8th.  I not have not had time this week to make the bug fixes that I have mentioned in the previous week’s post.


AUD/NZD

I have abandoned the 5 minute version of the strategy since it had another extremely poor showing for the week.  Testing on the 60 minute version will continue however.The strategy struggled again this week, even by the backtest standards.  Due to the fact that the backtests in no way reflect actual or paper trading, I will no longer be tracking backtest results.

AUD/NZD – 60 minute – week of 4/8/12

Backtest Paper Trading Live Trading
# of Trades 13 10 17
Winning Trades 69.2% 60.0% 70.6%
Avg. Trade (ticks) -1.22 -3.88 -2.86
Total Profit/Loss (Ticks) -15.9 -38.8 -48.6

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

Backtest Paper Trading Live Trading
# of Trades 81 66 70
Winning Trades 82.7% 77.2% 78.6%
Avg. Trade (ticks) 1.46 -0.46 -0.84
Total Profit/Loss (Ticks) 118.6 -30.3 -58.6

EUR/CHF

The 5 minute version of the strategy had a pretty tough week in both the live trading and paper trading accounts, but the backtest results show great results for both versions of the strategy.  I will be discontinuing tracking the backtest results for these strategies as well, due to the unrealistic results compared to live trading.

EUR/CHF – 5 minute – week of 4/8/12

Backtest Paper Trading Live Trading
# of Trades 52 30 32
Winning Trades 92.3% 86.7% 90.6%
Avg. Trade (ticks) 0.29 -1.04 -0.44
Total Profit/Loss (Ticks) 15.1 -31.2 -14.3

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

Backtest Paper Trading Live Trading
# of Trades 222 81 91
Winning Trades 93.2% 91.3% 95.6%
Avg. Trade (ticks) 0.35 -0.29 -0.04
Total Profit/Loss (Ticks) 77.3 -23.3 -3.2

EUR/CHF – 60 minute – week of 4/8/12

Backtest Paper Trading Live Trading
# of Trades 17 4 17
Winning Trades 88.2% 75.0% 82.3%
Avg. Trade (ticks) 1.68 0.73 0.12
Total Profit/Loss (Ticks) 28.6 2.9 2

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

Backtest Paper Trading Live Trading
# of Trades 88 56 80
Winning Trades 87.5% 87.5% 86.3%
Avg. Trade (ticks) 0.21 -0.16 -0.15
Total Profit/Loss (Ticks) 18.3 -8.6 -12.6

Twitter: @LimitUpTrading
Twitter: @RobTerp

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