Results for the week of July 1st for ArbTrader appear below. The AUD/NZD strategy closed the week out with a nice gain of 26.8 ticks, bringing its total up to 370.1 ticks since the system began trading in March. All results below include commission.
Week of 7/1/12
|# of Trades||14|
|Avg. Trade (Ticks)||+1.91|
|Total Profit/Loss (Ticks)||+26.8|
Total since 3/11/12
|# of Trades||284|
|Avg. Trade (Ticks)||+1.30|
|Total Profit/Loss (Ticks)||+370.1|
Update on Progress of the Arb Trader Application
AUD/NZD Strategy work
Due to the Trade Station issues I mentioned in last week’s post, I’ve been working on converting the Arb Trader to generated the signals itself, rather than relying on Trade Station. I’ve begun testing this new functionality in Interactive Brokers “Paper Trade” account, which allows you to test the API and trading applications with real price data, but placing trades in a dummy account. I anticipate work and testing with this will continue for a couple more weeks before its ready to go live.
End-of-Day Pair Trading Strategy
Work has pretty much been completed for a pair-trading strategy traded in the ArbTrader and I’ve begun testing this in a paper trading account as well. I anticipate testing to take another couple of weeks on this as well before being ready to go live.
Intraday Pair Trading Strategy
I’ve begun defining initial requirments for a pair-trading strategy that will enter/exit pair trades intraday, closing out positions before market close.
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.