Hi, have a look at BWolinsky Trading http://www.elitetrader.com/vb/showthread.php?s=&threadid=167686 Then look at wealth-lab.com and wl4.wealth-lab.com. They have shell programs to build pairs models from. And they do work if you know how to modify them. BTW, the models on there, assuming you know how to optimize and modify such strategies, work on any highly correlated pair you can find.
Good point... I was considering this instead of the synthetic positions, because the short calls on the synthetics can be exercised if a temporary spike occurred. Any european style leveraged etf options with strong liquidity???