Weekly Update: Live Trading AUD/NZD with the Arb Trader Application

Results for the week of June 17th for ArbTrader appear below. The EUR/CHF variation remains ‘off’ until the point in time that ArbTrader app has better risk control measures in place so that when the SNB does abandon the 1.20 peg I won’t be sitting on a large loss.


 

The AUD/NZD strategy had another profitable week, posting a gain of 7.2 ticks, bringing its total up to +340.0  ticks since the system began trading in March.  All results below include commission.


Week of 6/17/12

  EUR/CHF
60-minute
AUD/NZD
60-minute
# of Trades 17
Winning Trades 64.7%
Avg. Trade (Ticks) +0.42
Total Profit/Loss (Ticks) +7.2


Total since 3/11/12

  EUR/CHF
60-minute
AUD/NZD
60-minute
# of Trades 179 256
Winning Trades 88.3% 79.7%
Avg. Trade (Ticks) +0.27 +1.33
Total Profit/Loss (Ticks) +48.0 +340

 

I have continued work on the Arb Trader application and have begun the process of developing a new generic strategy template to be used for pair trading highly correlated assets based on end-of-day data.  This new module willl have the ability to define the 2 instruments (whether stocks, futures or options), the amount of each instrument to trade as well as the threshold value that will trigger a trade based on a proprietary indicator calculation.

In addition to this, I have begun work to allow the user to define and save configuration data for connecting to multiple Interactive Broker accounts in order to place trades and receive market data.  The current configuration is hard coded in the application itself and has made it very cumbersome when switching the application between connecting to a live account and paper trade account.

 

Twitter: @LimitUpTrading
Twitter: @RobTerp

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