This is the code that goes along with a live stream. More info in goals.txt
In P1 I coded the basic strategy and explained how it works. At the end of part one, we have a graph that shows the buy and sell signals based on changes in correlation.
In P2 I connected the strategy to a basic backtesting algorithm. At first it showed promise boasting a 2% return, then after factoring in slippage and other real world factors the strategy lost it's alpha.