I created a basic trading strategy designed to play upon the historically high correlation of two stocks to maximize return. The basic premise of the strategy is to bet on the convergence between the two stocks when the spread in prices is high.

The strategy utilizes a long term Relative Performance Index, which calculates the price of one stock over the other over a given time period. Then, a daily Relative Performance Index is created, and if this Index hits two Standard Deviations above or below the mean RP, you long the undervalued stock and short the overvalued stock, expecting prices to return back to equilibrium in the near future. 

This was my first attempt at a trading strategy, so if anyone has any suggestions, I would be happy to hear them!