Weekly Update 9/9/12: Live Trading AUD/NZD with the Arb Trader Application & Update on New Features

Once again, I’m running a week behind on publishing the results of last week’s trading..
Both strategies had a down week, with AUD/NZD continuing its losing streak with a 10 tick loss, and EUR/DKK snapping its winning streak with an 18 tick loss for the week. As a result of the AUD/NZD losses, I’ve pared back its position sizes by nearly half until I can add a filter that will keep the system out of the market when conditions are not favorable.

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


Week of 9/9/12

  AUD/NZD EUR/DKK
# of Trades 18 12
Winning Trades 77.8% 75.0%
Avg. Trade (Ticks) -0.57 -1.48
Total Profit/Loss (Ticks) -10.3 -17.8


Total since inception

  AUD/NZD* EUR/DKK**
# of Trades 448 127
Winning Trades 78.3% 88.1%
Avg. Trade (Ticks) +0.45 +0.80
Total Profit/Loss (Ticks) +203.1 +101.3

* 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
  • 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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