A pairs trade to consider for good results
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Great article and coding on your pairs trading example. Thank you for that. It is possible to trade fractional contract sizes on stock indices these days with 1:100 leverage (1% of the index value) on margin, as well as to automate the execution(which I have coded and use on live account), the benefit of this is accurate beta sizing and the affordability of scaling in multiple positions on the changing spread. To the point, from my own work, it appears that trading the DAX 30 (^GDAXI) against the CAC 40 (FCHI) are the best out of anything tradable in the indices world. It would be insight-full to all I think if you added this to your code and test results as an update, showing the real possibility of profit with your program and certainly it would be fascinating. Thanks for all your great work, it's very appreciated and beneficial.