Heh, no. But what I'm saying is that it is an additional risk on top of the risk that the broker could still screw up executing an order submitted by the algo.
Iâm running a little behind on publishing the results of last weekâs 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 weekâs number are below. All results include commission. Week of 9/2/12 AUD/NZD Trades: 21 Winning Trades: 76.2% Total P/L: -20.4 ticks EUR/DKK Trades: 20 Winning Trades: 95.0% Total P/L: +23.2 ticks Total since inception (3/11/12) AUD/NZD Trades: 430 Winning Trades: 78.3% Total P/L: +213.4 ticks Total since inception (7/22/12) EUR/DKK Trades: 115 Winning Trades: 89.6% Total P/L: +119.1 ticks 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.
Once again, Iâm running a week behind on publishing the results of last weekâs 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, Iâve 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 weekâs number are below. All results include commission. Week of 9/9/12 AUD/NZD Trades: 18 Winning Trades: 77.8% Total P/L: -10.3 ticks EUR/DKK Trades: 12 Winning Trades: 75.0% Total P/L: -17.8 ticks Total since inception (3/11/12) AUD/NZD Trades: 448 Winning Trades: 78.3% Total P/L: +203.1 ticks Total since inception (7/22/12) EUR/DKK Trades: 127 Winning Trades: 88.1% Total P/L: +101.3 ticks 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.
Iâm 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 doesnât take all the other strategies down with it. This weekâs number are below. All results include commission. Week of 9/20/12 AUD/NZD Trades: 18 Winning Trades: 61.1% Total P/L: -185.9 ticks EUR/DKK Trades: 14 Winning Trades: 85.7% Total P/L: +16.5 ticks Total since inception (3/11/12) AUD/NZD Trades: 485 Winning Trades: 77.3% Total P/L: +20.3 ticks Total since inception (7/22/12) EUR/DKK Trades: 156 Winning Trades: 87.8% Total P/L: +123.7 ticks 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 Currency Strategy 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.