I’m a predictive analyst and algorithmic trader in FX markets based in Zurich, Switzerland. Using proprietary MDFA real-time signal extraction designs, I built an automated financial trading platform called TWS-iMetrica that currently trades on Interactive Brokers. With nearly 3 years of algorithmic trading experience, my Sharpe ratios are typically between 2 and 5, depending on the year. Requests on performance track records can inquired via email. As the MDFA paradigm is quite generalized, I’m currently looking for opportunities to expand to many other markets, including commodity futures, equities, index futures, and fixed-income.
Educational background includes an M.Sc. and Ph.D. in Applied Mathematics and Scientific Computation from the University of Maryland, College Park where I completed a dissertation on large scale computational hybrid atmospheric models under a graduate fellowship with NASA Goddard Space Flight Center. I then switched gears and headed in the direction of econometrics, predictive analytics, and time series analysis. As a post-doctoral fellow, I developed a software package in C, Fortran, and Java called iMetrica – an interactive approach to hybrid signal extraction and forecasting that focuses on graphical tools and interactive controls for building stochastic models for all sorts of economic and financial data, filters, signal extractions, and forecasting. The software also has a powerful financial trading and engineering module using MDFA that includes an array of proprietary algorithms for building low to high-frequency trading signals as you’ll see in the articles I publish.
The purpose of this blog is three-fold:
- Offer an introduction to the many features of the iMetrica software package.
- Provide discussions on hybrid signal extraction, forecasting, and high-frequency financial trading strategies.
- Provide tutorials in R that reproduce financial trading results that I’ve achieved using iMetrica.
If you like the results that you see in the articles presented in this blog, I’m always open for collaboration and/or consulting opportunities. My Github can be found here, and personal webpage can be found at c-blakely.com. I can be contacted via email here.