Weekly Update 8/26/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

I’m running a little behind on publishing the results of last week’s trading.  AUD/NZD had another rough week this week with a loss of nearly 95 ticks.  USD/SGD and HKD/JPY both had small losses for the week and will be dropped from trading beginning this week.  EUR/DKK had another great week with a gain of 36.7 ticks.

This week’s number are below. All results include commission.


Week of 8/26/12

  AUD/NZD USD/SGD HKD/JPY EUR/DKK
# of Trades 14 12 14 24
Winning Trades 71.4% 83.3% 71.4% 91.7%
Avg. Trade (Ticks) -6.74 -1.03 -0.01 +1.53
Total Profit/Loss (Ticks) -94.3 -12.3 -0.1 +36.7


Total since inception

  AUD/NZD* USD/SGD** HKD/JPY** EUR/DKK**
# of Trades 401 97 76 95
Winning Trades 78.5% 79.4% 75.0% 88.4%
Avg. Trade (Ticks) +0.57 -0.72 -0.01 +1.01
Total Profit/Loss (Ticks) +233.8 -69.8 -7.6 +95.9

* 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

  • . USD/SGD and HKY/JPY will be dropped from trading
  • I will begin work with revamping the user interface for this strategy which will include adding some JavaFX components including real-time charts.
  • Look at implementing an equity curve filter so that when the system encounters a large string of losses the system will be switched off until the equity curve reestablishes an upward climb.

End-of-Day ETF arb strategy

No updates are planned for this strategy this week.

Intraday ETF arb strategy

  • Continue monitoring 4 pairs in the paper trade account.

 

Twitter: @LimitUpTrading
Twitter: @RobTerp

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