Weekly Update 7/29/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

This was a pretty good week for the AUD/NZD and USD/SGD pairs, both posting a nice gain of around 40 ticks each.  The HKD/JPY and EUR/DKK pairs didn’t fare so well however, both posting moderate losses on the week.  I should mention that the only other pair other than AUD/NZD that performed well in backtests was EUR/DKK.  No data was available through TradeStation to test HKD/JPY and USD/SGD did not backtest well, however I still wanted to see how it would perform in live trading.

This weeks number are below.  All results include commission.


Week of 7/29/12

AUD/NZD USD/SGD HKD/JPY EUR/DKK
# of Trades 18 23 12 13
Winning Trades 88.8% 87.0% 58.3% 76.9%
Avg. Trade (Ticks) +2.33 +1.73 -0.51 -1.15
Total Profit/Loss (Ticks) +40.3 +39.7 -6.2 -14.9

Total since inception

AUD/NZD* USD/SGD** HKD/JPY** EUR/DKK**
# of Trades 343 41 25 29
Winning Trades 78.1% 80.5% 68.0% 82.8%
Avg. Trade (Ticks) +0.97 -0.75 -0.21 +0.41
Total Profit/Loss (Ticks) +333.4 -30.9 -5.3 +12.0

* 3/11/12
** 7/22/12

Update on Progress of the Arb Trader Application

Currency Strategy

This week I will be moving to live trading the following features/bugfixes.

  • Bugfix for date/time comparisons that was preventing the system from starting.  The system is off beginning Friday at 14:15 until Sunday 15:00.  The bug caused the system to not place any new entry orders.

End-of-Day ETF arb strategy

No updates are planned for this strategy this week.

Intraday ETF arb strategy

Initial testing has started for this strategy in the paper trade account and is currently trading one pair.

 

Twitter: @LimitUpTrading
Twitter: @RobTerp

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s