I wanted to tell you that my ratio play DIA/CEF is doing quite well.
It opened when DIA was 108.15 and CEF was 5.48. Ratio=19.73.
I bought 20 shares of CEF for each share of DIA I shorted so basically I'm borrowing the cash from the brokerage.
Currently DIA closed at 108.43, a little up from my short position and
CEF closed 5.49 about at my long position. Ratio = 19.75.
The thing I love is that even though DIA has made a new high, the ratio has tested it's Jan high and is perhaps on the way back down. It's allowing me to keep an open short of DIA when I might otherwise be tempted to close it out.
I set my stop at a ratio of 23, above the Jun 2003 high.
I think this is the calmest I've been about a short position yet. I was well able to handle when the ratio went up shortly after putting it on.
Just wanted to share,
h

based on your post i think you might like pairs trading. check out www.pairstrading.com and see what you think.

-ja