How many times should you test an algo?
XTX Markets' Matt Clarke evaluates how often traders should test an FX algo to understand its outcome
The role of luck – both good and bad – is commonly underappreciated in the world of algorithms. Many traders will try an algo five times and then form a strong opinion based on what they have observed. But is this reasonable?
In the following thought experiment, this opinion piece focused on a single currency pair – sterling/US dollar – and chose three order sizes: 10 million, 50 million and 100 million.
We randomly selected 10,000 order start times over the past few months then flipped a
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