I am looking for a software that can historically test trading stratgies on pair trading. Lets say correlation between two stocks is very high and gets out of sync for a while. Normally traders sell one and buy the other. But how much profit does that really generate ? What are the drawdowns of such a strategy ? How about i do that on a whole portfolio of different pairs ? I want to test this and see whether this really works. In most testing software packages i can only buy or sell one market -- I need to buy one market and sell another in a certain ratio and then look at historical results. Anybody know a software that can do this in an easy manner ?