The AUD/NZD strategy closed another positive week, but only because of a fill that the system received near the close of trading where the market spiked up more than 60 ticks and dropped right back down in a matter of seconds. I was fully expecting a call by Interactive Brokers telling me the trade was going to be busted, but no such call came and the strategy ended up profiting about 50 ticks on the trade. All results below include commission.
Week of 7/15/12
|# of Trades||14|
|Avg. Trade (Ticks)||+1.04|
|Total Profit/Loss (Ticks)||+14.6|
Total since 3/11/12
|# of Trades||308|
|Avg. Trade (Ticks)||+1.31|
|Total Profit/Loss (Ticks)||+407.1|
Update on Progress of the Arb Trader Application
As of this week the Arb Trader is no longer relying on Trade Station to generate trades for the AUD/NZD strategy. Modifications have been completed to have the strategy generate its own entry/exit orders. In addition to this I’ve also added the following three currency pairs and will begin trading them this week in test mode, which means with minimal position sizes in the live account.:
End-of-Day ETF arb strategy
I’ve completed the end-of-day ETF arb strategy and will begin trading it in my live account as well with minimal position sizes. This strategy will not be as active as the currency strategy with an estimated 1 trade a week. Results will be documented here.