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
|# of Trades||18||23||12||13|
|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
|# of Trades||343||41||25||29|
|Avg. Trade (Ticks)||+0.97||-0.75||-0.21||+0.41|
|Total Profit/Loss (Ticks)||+333.4||-30.9||-5.3||+12.0|
Update on Progress of the Arb Trader Application
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.