https://logical-invest.com/universal-investment-strategy/
From my tests I think that he's cherrypicked the data a bit to puff up his returns, and I hate that he included a graph showing 2000%+ returns by shorting SPXS and TMV... but I may have done something wrong in my calculations that are making mine seem worse. Over a longer backtest (2004-2017) it's really just been "meh" but someone might find some value in it so I'm posting it here.
There is room for improvements by adding a stop, making it itterate between different lookback periods and picking the highest sharpe ratio, or by increasing rebalance frequency but I wasn't really impressed with any of that so I didn't include the code here. This is just his raw strategy as far as I can tell, unless someone can spot where I went wrong.