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Hi Guys, I went to an algorithmic trading meetup hosted by Quantopian, the trading backtesting startup that I referenced a few posts ago, I told the host that their next presentation topic should be on the "VXX VRP trading strategy," and the founders encouraged me to present it. So I plan to use their backtester to try to improve some of the existing strategy and present the results, my ideas include: Concrete idea: a) implement the "Mojito 2.0" strategy; http://www.godotfinance.com/workingpapers/DynamicVIXFuturesVersion2.xhtml Which uses IVTS = VIX/VXV (relation between 1-month VIX and 3-month VXV index); and based on what level IVTS is, another measure of VRP; trade a ratio VXX and VXZ, especially a calendar spread of the short and long-term VIX tracking ETN. Hedging the VXX/SPY hedging strategy; as mentioned before, there is already one existing algorithm, I want to try this method also from Donniger et al. http://www.godotfinance.com/workingpapers/DynamicVIXFuturesVersion2.xhtml; which again based on their metric of IVTS, trade a spread of VXX and SPY. c) Short VXX and long XIV only when the VIX term structure is in backwardation, this happened briefly in the recent VIX spike and then subsequent decline, I'm curious if this is a viable trading signal. Vague idea: d) Use Google trends on words "fear" and "debt" to trade on VXX, this seems very far fetched: however, there was a Nature paper that traded the ETFs to Google trends apparently with great results: https://www.quantopian.com/posts/google-search-terms-predict-market-movements I'll post back whenever I worked through one implementation. I suspect most of the ideas would end up mediocre or not changing much the status quo performance, but it'll be an exercise/excuse for me to follow through on implementing these ideas, Best, PC