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
|# of Trades||14||12||14||24|
|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
|# of Trades||401||97||76||95|
|Avg. Trade (Ticks)||+0.57||-0.72||-0.01||+1.01|
|Total Profit/Loss (Ticks)||+233.8||-69.8||-7.6||+95.9|
Update on Progress of the Arb Trader Application
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.