My name is Martí, I have a background in electronics engineering and about 6 years experience trading commodities and currencies, with the last 4 focusing on systematic and algorithmic trading. I am currently based in the Barcelona area, Spain.
The core of KLG is a systematic momentum-based strategy in which both alpha and execution models are automated in an algorithm running on a colocated server. This strategy aims to capture the volatility relationship between different currencies of major trade economies.
The strategy targets a low-risk level (VaR between 2.5 and 3.5) and a positive skewness. The position management dynamically adapts to market conditions and the risk management aims to limit the downside without limiting the upside. This is because of the momentum (trend-following) nature of this strategy; small and more common losses and fewer but bigger winners.
Lastly, all my work is under the name of KomaLogic, which comes from the junction of Mount Ikoma (Osaka, Japan, because of first rice futures traded) and Logic (from… logic. Nothing really fancy here).
So, nice to meet you all and I look forward answering any question you might have.