Wednesday, September 12, 2012

Introduction to Blog


Hello to all readers!

This is the introduction to a series of texts, which I plan to write, devoted to mathematics and financial engineering. Keywords in the title and subtitle of the blog show that I am interested in operations on the futures markets and Forex. What's more, my main goal is to develop mechanical trading systems and study their properties using simulation methods.


As a mathematician and a programmer by profession, I try to devise strategies on derivatives and then implement them in the form of mechanical trading systems. A significant proportion of them is based on the concept of virtual investors. That's not usurp the rights to the authorship of this idea, but I do not see often its implementation in practice. The desire to show my ideas for the implementation of this concept was one of the reasons why I start writing this blog.

This is not my first blog on this subject. For some time, I write about my ideas for futures markets on two other blogs: Mathematician on Forex and Intelligent Trading Systems. However, both are written in Polish. Therefore, in order to make contact with a wider group of readers, today I start the first blog in English.

The systems and strategies that I'm interested in, are based on different concepts, both trend following and contrarian. The use of adaptive methods as well as various estimators developed a way to combine these two seemingly contradictory ideas in the common structure. Among other things, these solutions I plan to write and discuss, if you will be willing readers.

So much as an introduction to the subject. In the following posts I will try to bring my basic ideas of systems. Some of them will be illustrated by diagrams, as well as using mathematical formulas. I hope that this will allow to convey my ideas to the readers. At the same time, of course, the results of experiments involving the simulation of these systems will be presented on the basis of the major currency pairs.

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