FlexEdge is a predictive analytics module that provides traders with advanced forecasting capabilities for trading U.S. equities. Using a proprietary, model-driven approach, FlexEdge provides short-term return forecasts across overnight and intraday time horizons, as well as intraday volume forecasts for use in sell-side and buy-side settings.
- Supplies intraday bin volume, enhanced volume profile, and end-of-day volume forecasts.
- Delivers intraday and overnight return forecasts.
- Generates forecasts and signal strength for 3000 U.S. equities and ETFs every minute.
- Use forecasts algorithmically, visualize graphically, or display them in the blotter.
- Cuts volume forecast error 20-25% compared to the historical average across the top 3000 names.
- Provides volume profile forecasts to reduce VWAP tracking error as compared to using historical curves (7-10% in simulations).
- Delivers execution alpha of up to 16 bps intraday with signal coverage of 12%.
- Provides access to continuous improvements in methodology driven by ongoing research.
The following use cases illustrate how FlexEdge can assist in order sizing and enabling alpha capture.
An order arrives in the blotter and you need to determine how much you should execute today. Historically, you might compare order size to Average Daily Volume (ADV), but a more accurate measure would be to compute the ratio of order size to volume expected to trade for the balance of the day.
A signal arrives and you would like to determine an a priori participation level consistent with slippage constraints and portfolio characteristics. Use FlexEdge as an input to optimization and implementation shortfall models, or let us develop these capabilities for you, via coupling our forecasts with FlexPTS.
Case 3VWAP algorithms generally distribute a trade execution along a historical volume curve, which is essentially a bet that today's volume will follow that pattern. FlexEdge volume profiles use a dynamic approach, with both market and stock-specific components, to adjust the participation profile to accommodate changes in the intraday profile. This reduces VWAP tracking error.
Case 4You can time an order's execution intraday and use FlexEdge alpha forecasts to delay or accelerate participation levels to help cut execution costs and beat benchmarks.
FlexEdge Intraday DemoBelow, you can view FlexEdge volume forecasts for each of the Dow 30 plus Apple and Google. In the table beneath the chart, we include in the first two columns, forecasts for the volume for the next bin and that remaining through the end of day. The corresponding full day volume and the 30-day Average Daily Volume (ADV) are included to help you gauge the difference between the historical average and FlexEdge methods. To view a chart of forecasted, actual, and historical average values for any of the 32 symbols, click on the associated row in the table beneath the chart area. Charts are updated every 15 minutes and show the actual (orange), forecasted (blue), and a 30-day bin average (gray) as a benchmark.