MOVE-index-strategy

I have been back-testing an academic paper that examines the relations between the MOVE index and the VIX. The code below is certainly not a strategy that is tradeable but it seems to show that there is information contained in the MOVE / VIX ratio that could be incorporated in other trading strategies.
Source papers:
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5001821
https://alphainacademia.substack.com/p/a-strategy-for-the-post-pandemic

I have deviated from the original paper which used a linear fit between MOVE and VIX and used the residuals as a signal. The strategy below uses the ratio of MOVE/VIX and purchases at low values of the ratio. This could be interpreted as situations where equity markets are over-reacting compared to bond markets.

I used SPXL as the underlying and used yahoo data for MOVE and VIX. ( MOVE data is from CBOE but WL does not have it added).

CODE:
// Use the ratio of MOVE to VIX to determine corret timing for long entry.
// <a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5001821" target="_blank">https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5001821</a>
// <a href="https://alphainacademia.substack.com/p/a-strategy-for-the-post-pandemic" target="_blank">https://alphainacademia.substack.com/p/a-strategy-for-the-post-pandemic</a>

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using System.Linq;

namespace WealthScript14 
{
    public class DFG : UserStrategyBase
    {
      string VIX = "^VIX", MOVE = "^MOVE";
      BarHistory MOVE_bars, VIX_bars;
      int MAPeriod = 100;
      double Threshold , VIX_Upper;
      TimeSeries close1, close2, ActualRatio, ActualRatioSMA, Delta;
      
      public DFG() : base()
      {
         AddParameter("Threshold", ParameterType.Double, 3.0, 1.0, 6.0, 0.5);   
      }

      public override void Initialize(BarHistory bars)
        {
         VIX_bars = GetPairHistory(bars, VIX);
         MOVE_bars = GetPairHistory(bars, MOVE);
         Threshold = Parameters[0].AsDouble;         
         ActualRatio = MOVE_bars.Close / VIX_bars.Close;
         PlotTimeSeries(ActualRatio, "Ratio " + MOVE + "/" + VIX, "RatioPane", WLColor.Navy);
         StartIndex = MAPeriod;
      }

        public override void Execute(BarHistory bars, int idx)
        {                  
         if ( GetPositions().Where(p => p.IsOpen == true).Count() == 0 && ActualRatio[idx] < Threshold  )
         {
               PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, "Buy" );
         }
         else
         if (ActualRatio[idx] > Threshold  )
         {      
               PlaceTrade(bars, TransactionType.Sell, OrderType.Market, 0, "Sell" );
         }
        }
    }

}