Steve Oppenheimer and Thomas Parry Steve Oppenheimer, Director of Marketing, Aegis Software, Inc. Thomas Parry, Director of Algorithmic Trading, Plimsoll Capital
Steve Oppenheimer and Thomas Parry Steve Oppenheimer, Director of Marketing, Aegis Software, Inc. Thomas Parry, Director of Algorithmic Trading, Plimsoll Capital

Traders Workshop - Intelligent Backtesting: Gaining a competitive advantage in FX strategy development

Steve Oppenheimer and Thomas Parry outline how interest in automated trading models and algorithmic execution strategies for the foreign exchange market has grown significantly.

First Published: e-Forex Magazine 29 / Traders Workshop / October, 2007

Interest in automated trading models and algorithmic execution strategies for the foreign exchange market has grown significantly, as multi-asset hedge funds and high-volume institutional proprietary trading groups continue to enter the FX market in record numbers. Although algorithmic trading has predominantly focused on the equities markets, the increasingly global nature of the capital markets has created an insatiable demand for advanced multi-asset algorithmic trading tools to detect opportunities where new relationships exist between markets. The increasing velocity of the FX market, the tendency for liquidity to be spread across multiple execution venues, and the lack of post-trade transparency present developers of FX trading strategies with a number of unique challenges that need to be addressed to ensure the accuracy of their backtest results. For example, potential strategies should be tested in a realistic environment representative of ‘actual’ trading conditions to avoid...continued

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