[cowmoo]

Hi, a shameless plug: I went to the Quantopian (the company that is behind Zipline and essentially uses Zipline as the core backend to their cloud platform) algo-trading hackathon two weekends ago and came up with this algo:

https://www.quantopian.com/posts/xiv-slash-vxx-pair-trade-1

Pair-trading VXX and XIV based on the StockTwits sentiments of the SPY at market open. The backtest did really well from 2011 to 2014 with 1700-1800% return in 3 years; and flat between 2014 to present-time,

I'd really love it if people can improve upon the algo and see what people when they clone the algo and come up with ways to mitigate the drawdown's and improve the performance!