NumXL 1.0 will be delayed to iron out issues detected at last moment. The delay will allow our engineers to continue working on those issues and to apply patches for other known problems. Fortunately, there are no relatively big new issues, so it should be a short delay.

NumXL - the econometrics analytics software - is currently under active development in preparation to its first official release on September 7th, 2009. This release includes minor fixes, enhanced documentation and graphical user-interfaces improving the product overall usability.

NumXL - the econometrics analytics software - is currently under active development in preparation to its RC Release on July 24th, 2009. This long-waited release includes a completely redesigned set of documentation and graphical user-interfaces improving the product overall usability.

The optimal trading strategy is to buy low and sell high. This is easier said than done, and many of us invest lot of effort experimenting with strategies in an attempt to get closer to this end.

Exchange-listed futures are increasingly used in active strategies; they are offer leverage, efficient access to illiquid physical markets, and risk management tool. In this paper, we illustrate the issues and procedure related to incorporating futures in our strategy (e.g. Contract specifications, Margin requirement, contract size, leverage, mark-to-market (MTM) etc.). We define returns on margin and examine closely P&L draw throughout the day

This paper discusses the back-testing process of the strategy; we demonstartes the steps, issues and assumptions made during the preparation of the data sample and the calculation of the hypothesized startegy's returns.

In this series (white papers), we touch on several practical issues encountered for constructing a trading strategy, generating returns, examining the profit & loss profile, placing a stop-loss or limit order with strategy, accounting for execution slippage and transaction costs, leveraging using margin or futures, etc.

Analyzing exchange-listed derivatives time series, our users need to incorporate the contract specifications in effect. For instance, a trading strategist analyzing the futures prices would need to identify the corresponding future contract (i.e. exchange symbol) at each date, contract's expiry date (i.e. last trading date), contract's delivery dates (first & last delivery dates) and other listed contracts (different delivery months), etc. The listing exchanges publish the contract specifications detailing size, price change and the rules to compute the different important dates.

Our users often face the need to process the information of the dates components in the time series. For instance, a strategist wishes to do:

• Analyze financial data sets for international markets with new holidays and/or weekend conventions.
• Examine the weekday, week in the month, long-weekend and/or month in the year effect.
• Examine the effect of one/more economical factors (e.g. CPI, GDP, etc.).
• Examine the number of trading days in holding holding.
• Construct a derived data series that represent a new holding period or buy/sell strategy for the same holding period.