Background
Matrix Alpha Analytics, original called Matrix Trading Systems, was formed in 2005 to develop software to accurately back-test complete trading systems. The background of the
staff is in building models of customer behaviour (for applications in credit scoring and database marketing) and many of the mathematical techniques from those industries have been applied to building, and evaluating the results from, trading system models.
We owe a debt of gratitude to Ed Thorp for his work in the field of statistical arbitrage and position sizing, which we have used to help define the type of systems that we want to be able to model. Ed Thorp (sometimes called the "Godfather of Quants") was one of the earliest proponents of this type of analysis.
There has been a substantial emphasis on working with data vendors in order to produce a very clean record of historic data.
Initially the company focussed on US equities, but in 2010 the company added options data to its databases, and futures data was added in 2011. The addition of options data allows for a broader range of position types to be handled - for example a complex position may consist of a long position in a security hedged by one or more options.