Sure. To start off with, the VIX is a CBOE index of the implied volatilities of options on the S&P 500 (nowadays). It's a measure of how much volatility is being priced into S&P options; it's calculation is interesting but not totally relevant, there's a great paper here http://papers.ssrn.com/sol3/papers.cfm?abstract_id=871729 that explains it all.
There's a hypothesized "Volatility Risk Premium", which is the premium that option sellers charge to S&P hedgers in exchange for assuming the risks of the volatility of the index. This is, in theory, above and beyond the fair value of the options. For those willing to take this risk, this premium should result in excess returns as the reward. Whether or not this premium really exists, or in what fashion, is debatable.
The VIX index is not directly tradable, which makes volatility plays sometimes challenging. There are futures contracts on the VIX, and these are traded, but they discount future expectations of the VIX and have their own term structure. There are, now, ETPs on the VIX, which are usually internally implemented using VIX futures. VXX and its ilk are relatively well known; people think that they are tradable securities that behave like the VIX. Unfortunately, due to the fact that these products buy medium-term futures and sell short-term futures, they are usually on the wrong side of the VIX term structure contango during quiet markets. Hence, buying VXX will almost perpetually lose money.
XIV and ZIV are much more interesting products; these do the opposite, they short further contracts and buy the near contracts. Hence, these ETPs tend to do well during quiet markets, but then get very severely shocked during market disruptions.
This paper is trying to harvest the volatility risk premium during quiet times by being long the XIV ETP, while avoiding the shocks. Of the several methods he provides, #3 and #4 look the most interesting, with #4 being basically "if the Volatility Risk Premium is above some threshold, be long XIV, otherwise be long VXX". The Volatility Risk Premium is defined as the smoothed difference between VIX implied volatility and the realized volatility.
I am sure there are some calculation errors in my code, particularly related to the subtleties of calculating and normalizing standard deviations as a proxy for the realized volatility of SPX (SPY in the system) when the underlying distribution is not lognormal, but at least with fetcher we can start doing VIX-based studies and systems!