Hi Guys,
For those who are interested, there's an actually a following of the backtest of the VRP strategy here, with some responses from the author of the original paper,
https://www.quantopian.com/posts/system-based-on-easy-volatility-investing-by-tony-cooper-at-double-digit-numerics
Also an implementation that hedges VXX/XIV with SPY since there's correlation there,
Best,
PC