Weekly Update 9/2/12: 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 once again. AUD/NZD had another another losing week dropping about 20 ticks while EUR/DKK had another strong week adding 23 ticks.

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

Week of 9/2/12

# of Trades 21 20
Winning Trades 76.2% 95.0%
Avg. Trade (Ticks) -0.97 +1.16
Total Profit/Loss (Ticks) -20.4 +23.2

Total since inception

# of Trades 430 115
Winning Trades 78.3% 89.6%
Avg. Trade (Ticks) +049 +1.04
Total Profit/Loss (Ticks) +213.4 +119.1

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

Update on Progress of the Arb Trader Application

Currency Strategy

Upcoming bug fixes and new features

  • Add ability to configure multiple IB accounts and new currency pairs rather than having to hard code them in the application
  • 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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