Results for the week of June 24th 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 closed the week out with a small gain of 3.3 ticks, bringing its total up to 343.3 ticks since the system began trading in March. There were a couple of issues with the link to Trade Station which prevented the application from placing trades that are discussed in the section below All results below include commission.
Week of 6/24/12
|# of Trades||–||14|
|Avg. Trade (Ticks)||–||+0.24|
|Total Profit/Loss (Ticks)||–||+3.3|
Total since 3/11/12
|# of Trades||179||270|
|Avg. Trade (Ticks)||+0.27||+1.27|
|Total Profit/Loss (Ticks)||+48.0||+343.3|
Update on Progress of the Arb Trader Application
AUD/NZD Strategy work
The AUD/NZD strategy missed a couple of trades this week due to issues with Trade Station. This strategy relies on Trade Station generating trading signals in real time, which the AUD/NZD strategy uses to then place trades with Interactive Brokers. In one instance Trade Station logged out of my account and had the login dialog standing by for user input. Trade signals were not sent to the AUD/NZD strategy until I logged back into the Trade Station account. The second issue is that Trade Station for whatever reason does not always produce trading signals after midnight local time for whatever reason. I’ve noticed this issue maybe half a dozen times, but can not reproduce it consistantly. In order to get Trade Station to begin generating signals again, “Refresh” must be manually selected from the Trade Station menu in order to get it to generate real-time signals again.
Due to these issues with Trade Station I have decided to make it a priority to remove the depence on Trade Station from the AUD/NZD strategy all together so that the strategy itself will generate the signals in Arb Trader.
End-of-Day Pair Trading Strategy
I have also been working on a generic pair trading strategy based on daily price data, which means the strategy will trade at the end-of-day, not intraday as the AUD/NZD strategy. The pair trade strategy will look to trade pairs of highly correlated assets whether they are equities, futures, currencies or options. Trades will be placed near the close of the market and positions will be closed when the price discrepency between the 2 assets disappears. The strategy will be generic enough where mutliple pairs can be configured via the user interface.
Currently every value in the Arb Trader application is hard coded, such as amount of shares/contracts to trade as well as connection information to Interactive Brokers. I am beginning work on making these properties configurable via the user interface so that I will be able to connect to multiple Interactive Broker accounts as well as set the size of the trades based on the amount of equity in those accounts.
I have a long list of other tasks I would like to get done in Arb Trader including the creation of an intraday pair trading strategy as well as adding some charting capibilities via the JavaFX framework, but the tasks above will be the focus on my time of the next few weeks.