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Several of my strategies involve trading VXX options, however in my backtests the strategy frequently ceases trading due to option splits not being supported. Since VXX splits frequently, I'm unable to backtest my strategy for more than a year at a time.
Is there anyway around this, to enable a more extended backtest of a VXX options trading strategy?
Thank you in advance for help with this.
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Bodhi
It appears the strategy wasn't purchasing a new VXX contract after the split because when the pre-split option was liquidated, the self.contract parameter wasn't reset. I was able to fix this by first checking to see if the strategy held an option contract, before purchasing a new one.
Bodhi
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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