Ok, looked at GDAXI and FCHI. A couple questions:

- First thing I notice is that they are rather expensive. Are there cheaper etfs following the same curves?
- Their price is different in magnitude, while % change might be cointegrated. Still, which indicator do you propose to decide when the two prices are "in line" and when they are "apart"?
- I guess the general strategy then would be - sell bigger and buy smaller one, close position when they align again to win the initial discrepancy?