Weekly Update 8/19/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

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

AUD/NZD USD/SGD HKD/JPY EUR/DKK
# of Trades 19 18 15 17
Winning Trades 94.7% 77.8% 80.0% 94.1%
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

AUD/NZD* USD/SGD** HKD/JPY** EUR/DKK**
# of Trades 395 85 62 71
Winning Trades 78.7% 78.8% 75.8% 87.3%
Avg. Trade (Ticks) +0.83 -0.68 -0.12 +0.83
Total Profit/Loss (Ticks) +328.1 -57.5 -7.50 +59.2

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

 

Update on Progress of the Arb Trader Application


Currency Strategy

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.

 

Twitter: @LimitUpTrading
Twitter: @RobTerp

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