This is an attempt at porting an alogorithm from Quantopian to Quantconnect.  Not only are the results completely different, but even the base data on which the RSI is calculated is different.

  Any help will be appreciated.

Quantopian Link: https://www.quantopian.com/posts/ballistic-xiv-slash-vxx-my-best-long-xiv-slash-vxx-strategy-to-date

Based on the backtest provided by Wenbo Zhnag on 9/17/17