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Interactive Brokers is charging $4,332 maintenance margin for a position long 1 ES contract. Meanwhile, they are charging $6,456 on a position short 1 ES put. (Expiration May 20, strike 1975, value of put ~1 ES point). It doesn't make sense that shorting an out-of-the-money put would cost...

AMD to Cut 5% of Global Workforce in Effort to Reduce Costs http://www.bloomberg.com/news/articles/2015-10-01/amd-to-cut-5-of-global-workforce-in-effort-to-reduce-costs

I'm guessing you don't work in the industry. This is "not even wrong."

AQR emerging as one of the largest trendies, maybe the largest in the US, Managed by AQR founder Cliff Asness, the open-ended fund was started in 2010 and has $9.135 billion in AUM as of August 31.

At a firm allegedly using insider information it's unsurprising a small portion of the trades account for all the profit, since those trades would have an orders-of-magnitude higher edge.

The 10-year futures contracts in the big markets -- TY and Bund.

They may not have had reliable constituent data for their modeling, to be sure they were buying mispricings rather than falling knives.

CME is also giving it a shot. Not much volume yet, but if you're a long timeframe player it might work for you.

Did you read the book? I'm not following what you're saying. The book goes into data-cleaning in detail.

Olsen et al, 2001 talks about this subject thoughtfully and in detail.

If you re-read OP carefully, you'll note he was asking for advice on software, not on the merits of statistical techniques.

Big step in that direction today! SHAK Bid: 47.81 Ask: 47.84 Last: 47.81 Chg ($): -2.84

My bad -- I took you to mean end-user clients, rather than clearing firms.

You mean specific firms? If your firm is among the top X, CME will tell you your ranking, and I believe ICE will also. If you're seeking another firm's ranking... why is it any of your business?

I guess that's a matter of opinion. I've read most of his books and don't recall many strategy specifics, but he did write a short piece "Trade trends successfully, here’s how" some years ago.

Or R + quantmod... There are old threads with both Python and R scripts -- have a search.

Would be helpful to himself and those trying to help if OP posted his current code. Otherwise it's just guesswork as to what he's trying to do, and what's working or not.

Fyi, new investing book out, "Excess Returns," mentions the Turtles - see pg 5 of http://bit.ly/1WBT4q9

What data structure is your "time series"? If a data frame, just add a column, or use the row names.