Place the anchovies and capers onto your cutting board and chop together until finely minced. Place into a mixing bowl with the mayonnaise, ketchup, Dijon, relish, horseradish, Worcestershire, and 2 teaspoons of lemon juice. Season with salt and pepper, to taste. Let sit for 30 minutes before serving as the flavors will meld together, resulting in a better final product. The remoulade can be kept in an airtight container in the fridge for up to 2 weeks.