With
this question I want to initiate series of reflections about the
construction of a separate, not discussed here before, methodology of
the speculations on derivatives. The practical realization of this
idea, which I will develop in subsequent posts, will be carried out
using the methods and achievements of the modern theory of portfolio
selection. One of the concepts operating within it is known as CAPM, i.e. Capital Asset Pricing Model. The model mentioned here
was originally formulated for equity portfolios, and naturally is
followed by the idea - good or bad - to transplant its prey on the
ground of derivative instruments, including Forex.

# Trading Simulation Technologies

Forex, Futures - Financial Engineering, Computational Intelligence

## Thursday, November 22, 2012

## Thursday, October 18, 2012

### Formulas for gains and losses in trend contrarian strategy

Following
the previous post, I now present a model that defines the
size of the gain or loss arising from the use of anti-trend strategy.
This strategy, the assumptions presented here, is a simple mirror
image of that which follows the trend.

## Tuesday, October 9, 2012

### Formulas for inverting the position in trend contrarian strategy

In
the current section I suggest another portion of mathematical
formulas. Earlier models were discussed, which define the conditions
of a strategy to reverse the position of the player who is following
the trend and remains constantly in the market. Currently I present
similar formulas for anti-trend strategy, sometimes called contrary.

## Friday, October 5, 2012

### Playing against the trend - assumptions for the transaction system

In
the early texts appearing on this blog, I started providing basic
assumptions of transactional systems, starting from a simple trend
following strategy. The simplicity and triviality of these approaches
is justified by the plan to use them as basic building blocks to
design more advanced systems. And all this will be implemented
through an adaptive selection of parameters which control the
operation of these systems. Selection on the basis of the results of
auxiliary systems, which operate in a hierarchical structure.

So
much for the reminder of basic aims of my descriptions that I put
here. Today I present the assumptions of the second elementary
component of my design - simple contrarian system.

## Saturday, September 29, 2012

### Formulas for gains and losses in trend following strategy

In
the previous post I presented the rules that govern changes
in the market by the player applying the strategy to follow the
trend. Now I want to go to the formulas determining gains and losses
arising from the position occupied by the player. Of course, this
applies to profits from the basic strategy, as there is always the
assumption operate on a fixed and unchanging position size.

## Monday, September 17, 2012

### Formulas for inverting the position in trend following strategy

The
system discussed in the previous post can be easily tested using the
simulation method of its operation. The input record format will be
an Open-High-Low-Close, and I plan to implement the engine of the
system using
C++ compiler together with the R environment. But first I would like to briefly write
down the formulas necessary to program rules of position reversals
and the resulting profits.

## Friday, September 14, 2012

### Elementary trend following trading system

I
want to go as soon as possible to the specific methods and
algorithms, which is why today I present the basic concept of the
base system. With such systems, like building blocks, I'll build more
complex structures. Among other things, through the use of
hierarchical stacking one on the other systems. But more on that
later, for now I want to describe the basics of my methodology.

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