Here's a simple attempt at a mean-reversion/stat-arb startegy using TVIX & VXX. 8.7 Sharpe with very little drawdowns looks way to good to be true. As is, this startegy isn't tradeable because I dont think enough slippage has been taken into account but I am interested in seeing if anyone else can improve on this or has had any luck with mean-reversion. I have been trying to develope a stat arb strategy using the universe selection and a cointegration class that I wrote but it is extremely processor intensive.