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This is an old thread, but Shankar is right. Export your systems to Excel and then run the correlation.

Can you recommend any specific resources? Can't seem to find his books anywhere. Thanks

Forgot this function: {AcmeLogTrades: Log Trades to a file for import into a spreadsheet} Inputs: LoggingOn(truefalse), LogFileName(String), SystemID(String); Variables: ADXLength(14), Length(30), TradeString(""); If LoggingOn and Category =2 Then Begin {Log Closed...

hmap, Have you looked at Mark Conway and Aaron Behl's model for pair trading in their book "Professional Stock Trading"? If not, they set up a day-trading pair model incorporating correlation and volatility. If for nothing else, you can see how they programmed theirs. It is all fully...

I've heard (although I'm sure some will disagree) that max drawdown could reasonably be half of return. So, if your system returns 20%, then a 10% max DD would be reasonable. I'm sure there is no real "right" answer to this, and it will probably depend on the nature of the system.

...I agree with Vikana. If it doesn't test well on SPY, no big deal. Semis will trade like completely different animals, and it is difficult to design a system that works well on everything. I would be more concerned with getting lots of years of data...or trying other stocks (like Vikana...

Anyone else have experience with Advanced Futures? What about their autoexecute platform?

Thanks Rob...are you satisfied with the speed of the platform? What about AF customer service?

Don't know? I really don't know that much about them...

Does anyone have experience trading with Advanced Futures' AutoExecute platform? If so, how do you like it? Also, is it easy to port over your Tradestation code? Thanks!

Anyone here use Advanced Futures's AutoExecute software? If so, what has your experience been? How hard is it to port a strategy over from Tradestation? What has your experience with customer service been like?

Chiguy, Can you tell me a little bit about how order execution works in the index options at the CBOE? You mentioned there were 200 traders on the OEX. What type of volume would cause a stir (if anything) on these options? I'm particularly interested in the DJX. If an order came through...

LA ECHO, Thanks for the reply. You'll have to excuse me b/c I'm not that technical. I have a few systems in Tradestation that I want to trade on the ES. Is there an easy way to take my code, use your API, and trade them? thanks! MYD

Robbo, I don't trade prop, but I'm in Chi. and have heard good things about Echo here. MYD

Does anyone know if Echo has the infrastructure for automated/mechanical futures trading, now that they offer futures?

Anyone else care to share their stories about mechanical trading? Love to hear if anyone else does it successfully. Additionally, if any of you use Tradestation, do you notice a lag on the ES? If you are trading a mechanical system, how much effect has this lag had on your system performance?

From a Chicago Perspective: If you need a mid-tier firm (right below the big 4, or whatever they are now) Altschuler, Melvoine and Glasser in Chicago do hedge fund accounting. They are a division of American Express Business services. Very reputable. http://www.amgnet.com/ Also...

Thanks everyone for the great feedback. I'm considering automating on 15,30,and 60 min bars. I'm using the "buy/short next bar at close limit" construct for entries. I've been a little hesitant to use LIMIT orders on my stop losses and trailing stops, and have kept them market orders...

Thanks very much! Anyone else...?

If you are using Tradestation, I have posted some (not all) of the Acme System code for download in this forum at www.tradestationworld.com: https://www.tradestationworld.com/discussions/topic.asp?TOPIC_ID=3746 Enjoy!