FlexTrade has introduced a back-testing framework designed to gauge and adjust the performance of past trading strategies for real-time use in trading equities, FX and futures.
The solution is available as an addition to the company’s FlexTRADER EMS and OMS platforms and is designed to allow traders to test an unlimited number of financial instruments in parallel.
Testing can be made across single security, cross asset, multi-leg and portfolio-based trading strategies, while a flexible fill simulation module helps traders tailor the exchange simulation logic to their target market. The framework also has the ability to replay past orders alongside market data and track algo performance under various market conditions, and to replay top-of-book and depth-of-book market data.
Vijay Kedia, president and CEO at FlexTrade, says: “Just because a trading strategy worked successfully in the past, doesn’t mean it will show the same results in the present. 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.”
He describes the speed in which the back-testing replay occurs as ‘quite extraordinary’, and notes: “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. The framework simplifies trading strategy development for the trader into a three-step process: first, build your strategy; second, test against past performance factors and adjust; and last, deploy.”
