At the heart of Fall River Capital’s operations is a comprehensive real-time price database. This data warehouse taps multiple sources for up to the second pricing in futures, forex, and cash markets. Our data management software maintains, organizes, and cleans this data, providing the raw materials that feed both our research and trading operations.
On the research side, several components drive the development of trading ideas: Input from the execution team regarding trading costs, changes in market micro-structure, and observed price anomalies is considered alongside quantitative and technical analysis of price patterns. Ultimately, promising ideas or groups of ideas are quantified into a testable trading hypothesis, and subjected to a rigorous set of historical tests.
A trading idea must satisfy several criteria before being considered an acceptable candidate. These include consideration of the simplicity of the trading rule along with performance on a global portfolio of markets both in-sample and out-of sample. Strategies that meet all our requirements are eligible to be put into production.
On the trading side, “live” strategies watch our price feeds for trading signals. Orders are issued as appropriate for execution on the trading desk. Trading operations are run with an eye towards minimizing market impact while achieving the most favorable executions. As trades are filled, our operations software and staff confirm, reconcile, and allocate trades to the appropriate accounts. Real-time performance as well as the match between hypothetical and actual results is monitored and further utilized in strategy development.
Innovation in research is vital to success. An integrated research and trading platform allows us to seamlessly implement new strategies and continually evaluate existing ones.