Research


Express research ideas in powerful trading strategies

An Optimised Process

Each step in your research process is optimised using cutting-edge analytics and simplified approaches.

Analytics and Backtests

  • Access to both proprietary and open-source libraries

  • Open-source QuantLib including option pricing and yield curve construction

  • Plug-in of client’s own proprietary quantitative analytics library

  • Performance analytics including PnL attribution, turnover, trading costs and plotting

Strategy Implementation

  • Building-block approach - strategies are treated as tradeable instruments

  • Researchers can work independently on separate components while collaborating on the same platform

  • Complexity can be increased iteratively, layer by layer

Backtest Engine

  • Best-in-class backtest engine that accurately models the whole trade life cycle at instrument level

  • Sophisticated and customisable trading cost modelling, including:

    • Transaction costs
    • Rolling costs
    • FX hedging
    • Dividend taxes

Building Blocks

Reusability

A strategy is treated like a tradeable instrument that can be used within other strategies via object-oriented modelling.

Collaboration

Our platform facilitates intra-team and inter-team collaboration by eliminating redundant code and allowing complex strategies to be constructed iteratively, layer by layer.

Granularity

The tree structure used in the construction of a strategy allows accurate event-driven trading cost modelling and PnL attribution. Users can attribute risk and returns at any level of the strategy tree and at any chosen building block.

Trading Costs

Applied at each execution order

  • Our backtest engine models all the execution orders

  • Trading costs are applied at the time of execution and the chosen venue given the type and size of the instrument

  • Aligns backtests with real-life PnL

Supports various types of trading costs

  • Models both fixed and variable costs; differentiates between commissions and market impact

  • Supports instrument-specific cost types such as absolute amount, % of notional or vega amount

Easy customisation and integration with TCA

  • Our platform comes with default trading cost models for a wide range of instruments, all of which can be overridden by users if needed

  • A user can also integrate with his own TCA database for the most up-to-date feedback from execution

Trading cost impact - an example

  • FX futures long-short strategy

  • Weekly rebalancing based on short-term fundamental signals

  • Backtest shows gross total return of 17.1% over the whole period

  • Realistic t-costs result in just 1.6% net total return