When you short as is needed in a pair trade, your liability is unlimited. Hence the need to keep this type of trading in an S corp.
I hope you got experienced legal advice, as it seems highly unlikely that if you should have a blow up that the brokerage would not be able to pierce the corporate wall in about a week. Does a doctor or lawyer escape personal liability because he is incorporated? How about a building owner who personally manages the property, would she escape personal liability? In this case it seems that you are not only a shareholder in the corporation, but also the agent making the trades. I do know of one case where a gyppo logger bought a plot on a land contract with a sole owner (himself) C-Corp. He stripped the timber and defaulted on the note. The landowner took back the land, now missing most of the value. The landowner pierced the corporate veil, but it didn't do him much good as this guy, as is the case with most a-holes of his type, barely owned an extra pair of socks. His equipment was leased, his home rented. The landowner, a retired government worker, got a very helpful stupid lesson. Unfortunately, he died not long afterward and thus was not able to make much use of his new knowledge.
I do not
know that your plan would not work, but it sure sets off my late night TV get rich weirdness meter.
Additionally, don't forget that the brokerage will be marking your positions to market, and at the first hint of insufficient margin they will be liquidated, and you will be out of business. For you, likely a fairly benign outcome out of the many available.
One more comment. I would imagine the biggest threat to pairs trading to be something you would never discover running r(s). An unexpected news item, for example a buyout offer, or a huge industrial accident, or rat poison being found in a pill bottle would suffice.
Ha