I’m a few weeks behind on updating the results of the strategy as I prepared a presentation for the JavaOne conference which took place this past week. In the meantime, the AUD/NZD version of the strategy has taken a serious beating, erasing almost all the gains since the system started trading in March. The strategy was also stopped out during the week when it hit its 100 pip stop loss. When this event happens all other strategies will cease trading as well (EUR/DKK), until manually started again. This is to ensure that some crazy event doesn’t take all the other strategies down with it.
This week’s number are below. All results include commission.
Week of 9/30/12
|# of Trades||18||14|
|Avg. Trade (Ticks)||-10.33||+1.18|
|Total Profit/Loss (Ticks)||-185.9||+16.5|
Total since inception
|# of Trades||485||156|
|Avg. Trade (Ticks)||+0.04||+0.79|
|Total Profit/Loss (Ticks)||+20.3||+123.7|
Due to the large drawdown that the AUD/NZD strategy is experiencing, I have implemented an equity curve filter on the strategy so that it remains out of the market until performance improves. An equity curve filter takes the average cumulative gain/loss over the last 100 trades, and compares it to the current gain/loss amount of the strategy. If the current amount is less than the average, then the system stays out of the market. Below is a chart showing the current equity curve in blue, and the 100 trade average in red. The y-axis units are number of ticks the strategy has made/lost. As you can see the current equity curve in blue has fallen well below its 100 trade average.
Update on Progress of the Arb Trader Application
Upcoming bug fixes and new features
- ArbTrader now has the ability to add multiple accounts and data providers, whereas previously, everything was hardcoded.
- A JavaFX chart component now has been added to the application, which I will be adding the graph (above) to the AUD/NZD strategy tab.
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.