The script PythonPairAlgo performs a non-parametric correlation based pairs trading algorithm based on two airline stocks, American Airlines (AAL) and United Airlines (UAL). From the backtest on Quantopian, the algorithm performs surprisingly well with a prolonged period of outperformance over the SP500 benchmark up until December 2016. After December 2016, The algorithm continues to generate positive return albeit at a rate lower compared to the SP500 benchmark. A snapshot of the backtest is provided below: