<t>I've done something very similar (calculating correlation/cointegration tests across all stocks on 10+ years of data). After attemping to use R, I eventually found the only way to handle this was in a traditionaly programming language C++/C#/VBA where you can iteratively add/remove what it's memo...

<t>Well not quite, it is better than the S&P index over that time frame. The 6% return is over an average of 100 days (100 total days not 100 trading days). So 1.06^(365/100) is roughly a 24% annual return. This also assumes that I maintain 100% of the capital in my account equal to the proceeds...

<t>Thanks Marine,So part of my question I suppose was what are typical margin financing fees (any ballpark) for an individual and also what about a large fund? My question pertaining to the selling short portion of the trade is when I sell short I am given the proceeds from my sale, I use these proc...

<t>I have been doing research/back testing of Correlated/Co-Integrated pairs of stocks. I've come up with various tests for determining pairs and generating trading signals. My knowledge level of some of the practical aspects of the strategy are lacking; specifically, how would one figure out profit...