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
|# of Trades||18||12|
|Avg. Trade (Ticks)||-0.57||-1.48|
|Total Profit/Loss (Ticks)||-10.3||-17.8|
Total since inception
|# of Trades||448||127|
|Avg. Trade (Ticks)||+0.45||+0.80|
|Total Profit/Loss (Ticks)||+203.1||+101.3|
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
- 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.