Newguy,
I think you are misunderstanding us. We are talking about retail traders here. When you say "we", I assume you are at a firm. A firm may have the resources to make this doable for you on an individual level. But for some guy sitting at home with an IB account trading Reg T, no way.
We have to make a distinction here between professional traders and retail traders. Also I am not saying that the firms that attempt this stuff fail. Quite the opposite. What I, and a few others are saying, is that the amount of capital required, the amount of resources required and the work that's involved is substantial. At the end of the day, these firms are making money, but after cost, I have found that they are marginally profitable.
However, large firms have a tendency to leverage this kind of operation to such an extent where on paper, the returns look quite satisfactory. But we all know what happens or what can happen when we open that bag of worms.
On a side note, LTCM were masters in these types of trades. Do you know what their real return was at the end of the year on a notional basis. Less then one percentage point! All that edge, all that arbitrage, all those PHD's, all those computers, trading at practically zero cost, all that information flow, and their returns amounted to less then 1%. Of course they leveraged themselves 30 times over to create very impressive returns. But this again is my point. To the guy at home in an IB account, if, and this is a big IF, he can mimic what LTCM did, which is quite laughable, he can expect to make 1% on his money. Without the capital and leverage, you can see why many of us on this board are saying it's a no do for the retail trader. I hope I explained myself better this time around.
