Results for the week of May 27th for ArbTrader appear below. Midway through the week, after some rumors that the Swiss National Bank was planning further intervention in the FX market, (other than the 1.20 EUR/CHF peg they are attempting to maintain), I decided to suspend trading EUR/CHF as I felt I was picking up nickels in front of a steam roller. I may re-enable it at some point if I can devise a way to deal with the volatility should the 1.20 peg be dropped or other intervention is used by the SNB.
Both variations of the strategy had a good week, closing solidly in the black, including the EUR/CHF strategy, which only saw trading the first 2 days of the week. I’ll be preparing for the Series 30 test over the next week, so unfortunately I will not have any time available to work on the additional features mentioned in last week’s post. All results below include commission.
Week of 5/27/12
| EUR/CHF 60-minute |
AUD/NZD 60-minute |
|
| # of Trades | 12 | 20 |
| Winning Trades | 75% | 75.0% |
| Avg. Trade (Ticks) | +1.22 | +1.95 |
| Total Profit/Loss (Ticks) | +14.6 | +38.9 |
Total since 3/11/12
| EUR/CHF 60-minute |
AUD/NZD 60-minute |
|
| # of Trades | 179 | 197 |
| Winning Trades | 88.3% | 80.7% |
| Avg. Trade (Ticks) | +0.27 | +1.05 |
| Total Profit/Loss (Ticks) | +48.0 | +206.6 |
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Twitter: @RobTerp
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