Hi guys thought Id post this here see if anyone can port it from Quantopian, Was able to get the strategy to about 200% annual returns and 20% DD, or 100% annual and 10% DD. Looks like a very good strategy, and in quantopians backtests survived all the crazy vix stuff. 

https://www.quantopian.com/algorithms/5a9f43d39b6b6d23827afe7c

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