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|
|Avg. Trade (Ticks)||-0.97||+1.16|
|Total Profit/Loss (Ticks)||-20.4||+23.2|
Total since inception
|# of Trades||430||115|
|Avg. Trade (Ticks)||+049||+1.04|
|Total Profit/Loss (Ticks)||+213.4||+119.1|
Update on Progress of the Arb Trader Application
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.