Back in September 2105, Pravin Bezwada posted this link/comment...
Another pair trading algorithm using 2-stage correlation and co-integration based approach on 15 minute OHLC intra-day data on oil sector stocks. They claim monthly 2.67 Sharpe ratio and an annual 9.25 Sharpe ratio for the period between 2012-13. Will be interesting to see if this can be replicated in Quantopian.
I'm curious, did anyone attempt to code it up and if so, were the results robust?