The AUD/NZD strategy closed the week out with a nice gain of 37.6 ticks, bringing its total up to 392.5 ticks since the system began trading in March.All results below include commission.
Week of 7/8/12
|# of Trades||12|
|Avg. Trade (Ticks)||+3.14|
|Total Profit/Loss (Ticks)||+37.6|
Total since 3/11/12
|# of Trades||294|
|Avg. Trade (Ticks)||+1.34|
|Total Profit/Loss (Ticks)||+392.5|
Update on Progress of the Arb Trader Application
AUD/NZD Strategy work
Testing has continued this week on the with the new changes running in Interactive Brokers paper trading account. There were a couple of minor issues that were corrected, but everything else seems to be working as it did when Trade Station was generating the orders. I anticipate running these changes in the live trading account starting next week.
I will also begin testing the strategy with other currency pairs as well. First in the paper trade account and moving to minimal position sizes in the live account depending on performance. I’m currently slated to start testing HKD/JPY, but with the ease I can now add new currency pairs to the Arb Trader I may attempt to add 5-10 currency pairs and see how things go.
End-of-Day Pair Trading Strategy
Testing continued on the EOD pair trading strategy as well. I came across a glaring issue during testing this week for which I’ve written some unit tests for and corrected. Testing will continue this week and depending on how things go, I may move this to trading in the live account as well..