Combined Delaney's Researching a Pairs Trading Strategy notebook with a simple pipeline I found somewhere (can't seem to figure out where I got it right now but shoutout to unknown stranger for a good first pass pipeline).
The pipeline returns about a 1000 securities that for a variety of reasons are good for trading. Of these I check for pairwise cointergration over the last year if the securities belong to the same morningstar sector. It takes about 15 or 20 minutes to run and yields 3700 pairs with pvalues less than 5%
Haven't gotten around to building a trading strategy based on this system yet but i thought the heat map looked really cool so its worth posting it here even if only for that reason.