Week 11: Live Trading EUR/CHF and AUD/NZD with the Arb Trader Application

Results for the week of May 20th for ArbTrader appear below. The software has now finished its first full week with full position sizes in a live Interactive Brokers account.  I have dropped the 5-minute version of the EUR/CHF strategy as the small average profit per trade didn’t leave much room for error.  I am still trading the 60 minute version of both the EUR/CHF and AUD/NZD strategies however and I will also be investigating the possibility of adding a 60 minute HKD/JPY strategy as well.


The AUD/NZD had its best week since it began trading in March with a gain of 117 ticks, putting it at 173.7 since March.  The EUR/CHF strategy was a bit bumpy the past week due to the rumor that the Swiss National Bank was going to begin taxing incoming capital to the country in an effort to cool demand for the Swiss Franc.  Despite this the strategy was still able to finish nearly 3 ticks on the positive side for the week. All results below include commission.


Week of 5/20/12

EUR/CHF
60-minute
AUD/NZD
60-minute
# of Trades 17 24
Winning Trades 82.4% 87.5%
Avg. Trade (ticks) +0.16 +4.88
Total Profit/Loss (Ticks) +2.8 +117.0

Total since 3/11/12

EUR/CHF
60-minute
AUD/NZD
60-minute
# of Trades 167 178
Winning Trades 89.2% 81.4%
Avg. Trade (ticks) +0.20 +0.98
Total Profit/Loss (Ticks) +33.4 +173.7

Below is a screenshot of the Interactive Brokers Trader Workstation (TWS) software displaying Level 1 quotes for AUD/NZD, EUR/CHF and HKD/JPY.  There is also a window displaying Level 2 quotes for AUD/NZD.  The white “box” on the screen is the Arb Trader application, which for the time being is just printing data to the user interface.  At some point I will add some nicer components to the screen that will give more useful information than the current screen is providing.  The green, maroon, and blue boxes on the TWS screen are currency orders that the Arb Trader application currently has pending with Interactive Brokers.

screenshot

Future plans for Arb Trader including cleaning up the user interface and possibly adding HKD/JPY as mentioned above.  There are also some other interesting arbitrage opportunities that I have been exploring with the author of the the Front-Run The Delta blog.  (http://frontrunthedelta.blogspot.com), that have the possibility of being automated through the application as well.

Twitter: @LimitUpTrading
Twitter: @RobTerp

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