FlexTrade has launched a new back-testing framework designed to gauge and adjust the performance of past trading strategies for real-time use in trading equities, FX and futures.
“Just because a trading strategy worked successfully in the past, doesn’t mean it will show the same results in the present,” says Vijay Kedia, president and CEO. “There are countless variables – old and new – that could impact performance in unanticipated ways. That’s why using an advanced back-testing framework can make all the difference in running a winning strategy.”
Available via both FlexTrade’s EMS and OMS, the back-testing framework includes: a fast framework designed to allow traders to test an unlimited number of financial instruments in parallel; testing for single security, cross asset, multi-leg and portfolio-based trading strategies and a flexible fill simulation module for traders to tailor the exchange simulation logic to their target market.
The framework also offers the ability to replay past orders alongside market data and track the algo performance under various market conditions and to replay top-of-book and depth-of-book market data.
“One day’s worth of data can be back-tested in less than 30 seconds, while a full year’s worth of data can be back-tested in less than a day,” says Kedia. “It’s revolutionary in scope and simplifies the trading strategy development for the trader into a three-step process: first, build your strategy; second, test against past performance factors and adjust; and lastly, deploy.”