As mentioned in a previous post, issues with the IB Gateway this week caused the system to miss about 3 trading opportunities that would have proved to be profitable early Thursday morning. Regardless however both the EUR/DKK and AUD/NZD strategies had a great week, tallying up 30.5 and 59.2 ticks respectively, while the USD/SGD had a rough week with a loss of about 30 ticks.
This week’s number are below. All results include commission.
Week of 8/19/12
|# of Trades||19||18||15||17|
|Avg. Trade (Ticks)||+3.12||-1.69||-0.26||+1.79|
|Total Profit/Loss (Ticks)||-59.2||-30.5||-3.90||+30.5|
Total since inception
|# of Trades||395||85||62||71|
|Avg. Trade (Ticks)||+0.83||-0.68||-0.12||+0.83|
|Total Profit/Loss (Ticks)||+328.1||-57.5||-7.50||+59.2|
Update on Progress of the Arb Trader Application
This week I will be working on the following bug fixes
- . This will likely be the last week that the USD/SGD pair is traded. Historical backtest results weren’t great, but I wanted to see how the pair performed in actual trading. Live trading results look to be about in line with backtest results
- I will begin work with revamping the user interface for this strategy which will include adding some JavaFX components including real-time charts
End-of-Day ETF arb strategy
No updates are planned for this strategy this week.
Intraday ETF arb strategy
- I will be adding an additional 2 pairs to this strategy running in the paper trade account.