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Thanks for that reference! I must confess that I have this flaw in my backtester :( Back to the drawing board...

Not sure we understand the question. If you are talking about brokers on the phone that you call and they execute the trade it's about 50 cents per contrat to the bro and 50 cents to the firm. For what i know. I'm talking institutional trading when clients trade in 100 contracts clips or so.

Yobo, thanks for your reply. It does make sense to me. SilverRanger, a better question is how far back you look! This is a tricky one IMO. But I recalculate the ratio everytime, it's all automated. It should not change significantly over a small period of time like say 3 months if you look...

I'm not invited to answer but... If you traded poorly or made mistakes that have nothing to do with the stock in itself I would take the stats out. But there are stocks that you dont trade well because they are not a good fit to you or you have some "mental" or emotional inclinations. Suppose...

Yobo, thanks for the comments. I highly appreciate. This system is return to the mean but I plan on building a scanner for dispersion. The trade you describe on the SPY:TLT make sense to me and I had already planned to play something around that. For this specific trade, BWX:IEF, I dont see...

I used about 110 days so close to 6 months. A small sample in fact. It may not be cointegrated over one year but over 6 months it looks like it is, unless my code is wrong and it's possible. If you look at the chart that I attached you can see that it is trading in a range. But I agree that over...

In Canada you probably wont have a problem getting into any position being Asian. And that is even true in Montreal. That wont be the issue. Unless you can't spreak a clear and comprehensible English. If you talk like a retard they will never take the chance cuz there are hundreds of others in...

Metals.

With Interactive Brokers you can get live but you have to pay the exchange data fees (7$-9$ per month or something like that).

Just got too busy in my life. I work on a trading floor for a bank and if I buy stocks I have to fill some paperwork and keep them for minimum 30 days. This is to prevent insider information trading. Rules are internal to the bank, you sign or you dont!!!

More volatility may mean better fills and more fills but consider that when you have those fills you are in a more risky environment because the market is more shaky.

I dont know if this is a come back after 5 months. I can't trade stocks anymore so I'll limit myself to ETF's. Not with Pair Trade Finder, I have my own soft. I use the cointegration instead of the correlation. So I dont go cash neutral. First trade today after quite a while. Long BWX * 3.44...

When I decided to quit 2 months ago I was still profitable but it was not easy.

Kid. There was the NZD GDP @ 18:45. Just a chain reaction. Never heard of triangular arbitrage? "They blew out my stops", they, lol. Who are they?

Yes, exactly, by definition. Give it a try.

This is if the paper trading fills you at the open, which is contrary to my experience.

There are vix futures and options on the CBOE. Not very liquid though.

lol Look at SPY:IVV, IAU:GLD, ... there is no pairs trading intraday?

Yes, you can run brackets on paper. There is a limit to the number of trades you can put based on your capital. About 50k per thousand in cash from my experience.

Yes, you send limit on open on all stocks that you want to play. Tens to hundreds of stocks, depends on how you play. You only need the margin on what get's filled and it's in real time. So you get fill for 100k in two stocks, close them, get fill for 75k on one another and close it. In that...