FlexTrade (@FlexTrade) 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, doesnt mean it will show the same results in the present, said Vijay Kedia, President and CEO of FlexTrade. There are countless variables – old and new – that could impact performance in unanticipated ways. Thats why using an advanced back-testing framework can make all the difference in running a winning strategy.
Available via the FlexTRADER EMS and FlexTrades order management solution, FlexOMS, 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;
- A flexible fill simulation module for traders to tailor the exchange simulation logic to their target market;
- The ability to replay past orders alongside market data and track the algo performance under various market conditions;
- The ability to replay Top-of-Book and Depth-of-Book Market Data.
According to Kedia, the speed in which the Back-Testing replay occurs is quite extraordinary. One days worth of data can be back-tested in less than 30 seconds, while a full years worth of data can be back-tested in less than a day, he said. Its 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.
