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Hi sub7slak, Nope. Win2000 Pro on all four of my machines on the network.

Tyler, Great! The website is very fast, and friendly to those of us that prefer alternate browsers like Opera. It's very clean and professional looking. I like it! My only suggestion is that the blue on dark blue for the menus on the left is a little tough to see.

Hi Al, How useful has the book from pairstrading.com been for your trading? Is it a good intro, or more of a detailed approach to stat arbitrage? Any thoughts, positive and negative would be appreciated. Publicly or PM me if you'd rather. Thanks!

Hi Al, As you can see, I'm just catching up on this thread. Sorry for the delayed reply. While Tradestation has its liimitations, as Mark Conway pointed out in the TASC article, I have done most of my systems work in EasyLanguage. I think that Wealth Lab, Neoticker, and AmiBroker might be...

Hi Mark, Thanks for the reference to the books! I'm looking forward to reading yours. (It's on its way from Amazon.com). I enjoyed your TASC article as well. I'll post some follow up responses and plan to add to this thread with some thoughts, ideas, or discussion about your book.

Neutral_Al, I'm just curious: Are you calculating your correlations from daily bars or some lower resolution? I suppose this goes back to the basic premise of pairs trading. Some traders will want to look for pairs that are correlated, or revert to mean, on longer timeframes such as by...

Just do it in dollars. Ideally, you want your total dollar value hedged, or paired, in this case. MRK is trading at 49.24. So, for 1000 shares, you have $49,240. Now take the $49,240 and divide it by $58.05 or the price of LLY, and you get 851 shares. So, you can trade 1000:851 or...

Unfortunately, no. Metastock supports only 1-tick bars and 1 through 60 minute bars for intraday price compressions. If you like Metastock, a good, low cost alternative would be Amibroker (www.amibroker.com) which supports n-tick bars and I believe will work with your eSignal subscription.

Cash, Thanks for that excellent piece of information! I feel like I've been following the OO discussions/threads very closely, and I hadn't seen that before. This is great to know.

Well, that's assuming someone doing 1000 lot trades is paying the retail price. Everything is negotiable, of course. I know a couple of traders doing that sort of size, and they have huge negotiating power and get all sorts of special treatment.

Yup, I just found this in the CME Rulebook: 557. RESTRICTIONS ON STOCK INDEX FUTURES TRADED ON GLOBEX. [124] 557.A. General The following provisions apply to the trading of stock index futures contracts on GLOBEX. To the extent that this rule is inconsistent with any...

I think that 250 is the current limit on Globex. (Not that I trade that many....:D )

For a statistically valid result, most traders like at least 30-40 trades as a result of their backtest. Choose your data length accordingly. Personally, I want 80 to 100 trade results for each of my in sample and out of sample tests. Now, this makes me comfortable with a daily or 60...

http://www.medianline.com/data.html Tim Morge has very generously made lots of ES, SP, ND, and NQ data available for free. There's even a continuous contract. It's not the most current, but it might help fill in some gaps in your search.

I know of a couple who are trading tens of millions anyway using TS4 and 2000, with 30+ month track records. They are not using autoexecution, I agree, which is what I believe the point you are making, Brandon. I am working on creating a simplified example of an automated trading system...

pjtomtai, That's great. I agree that is the right place for it. However, I am not affiliated with the site in any way. If you are speaking of the links at the site, those should be done automatically. If you don't see them, contact the site owner (see the Contact or Help section at the...

Before anyone asks.... the .rar format is another compressed file format, like .zip files. An *excellent* and FREE program that handles this file type is at www.ultimatezip.com. I've completely replaced WinZip on my system.

A small document I posted at traders2traders regarding ASCII files and Tradestation: http://traders2traders.com/data/TSandCSV.htm

Check the archives of the Omega List. Lots of examples there http://purebytes.com/archives/omega/

Don, I'm looking forward to your visit and both classes! We have about 8 of us coming down from Fort Collins, and we're all primed for the "Bright Bands."