I came across an interesting document written by Tony Cooper named http://www.naaim.org/wp-content/uploads/2013/10/00R_Easy-Volatility-Investing-+-Abstract-Tony-Cooper.pdf. Searching in the community VXV has led me to some simple code where people tried to implement that strategies from the document but didn't post it.

I literally copied that parts together from 

  1. https://www.quantconnect.com/forum/discussion/910/vxv-vix-contango-ratio-strategy
  2. https://www.quantconnect.com/forum/discussion/435/combining-multiple-custom-data-into-a-custom-indicator

to the very first alpha version. If you want you can test some stuff and report back. I will post further changes later.