Easy-Volatility-Investing by Michael Manus

Michael Manus INVESTOR

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I came across an interesting document written by Tony Cooper named http://www.naaim.org/wp-content/uploads/2013/10/00R_Easy-Volatility-Investing-+-Abstract-Tony-Cooper.pdf. Searching in the community VXV has led me to some simple code where people tried to implement that strategies from the document but didn't post it.

I literally copied that parts together from

to the very first alpha version. If you want you can test some stuff and report back. I will post further changes later.

Update Backtest

Michael Manus

Accepted Answer

Update Backtest

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Michael Manus

10.2k Pro ,

Strategy 3 implemented with slices from here:

https://www.quantconnect.com/forum/discussion/592/how-to-refer-to-multiple-quandl-symbols

without Moving Average with only 1 Trade. added 5 lines to the sample in the link above

Michael Manus

10.2k Pro ,

Same sample from above with slices but starting 2015: 510 Trades + Black Monday on 24 August 2015

will add moving average later

Deric Horn

14 Pro ,

Curious if you have an update. Looks like YAHOO/INDEX_VIX stopped working in 2017. Is there a single location to get 2016-2017 data?

Alexandre Catarino

Pro ,

Deric Horn, Quandl still provides VIX from Yahoo under the YAHOO/INDEX_VIX ticker.
On the other hand, VXV is now CBOE/VXV. Here is the code to check it out:

public override void Initialize()

{

    SetStartDate(2015, 1, 1);         

        

    AddData<Quandl>("YAHOO/INDEX_VIX", Resolution.Daily);

    AddData<Quandl>("CBOEFE/INDEX_VXV", Resolution.Daily);

    AddData<Quandl>("CBOE/VXV", Resolution.Daily);

}



public void OnData(Slice data) 

{   

    Plot("VIX", "EOD", Securities["YAHOO/INDEX_VIX"].Price);

    Plot("VXV", "OLD", Securities["CBOEFE/INDEX_VXV"].Price);

    Plot("VXV", "NEW", Securities["CBOE/VXV"].Price);

}

Mark Horvath

19 Pro ,

"CBOE/VXV" seems to still work, but none of the other approaches work for VIX. Any ideas on how to obtain for a backtest?

Mark Horvath

19 Pro ,

OK, solution for loading VIX data is here:

https://www.quantconnect.com/forum/discussion/2201/vix

Jack Pizza

5.5k Pro ,

Fixed data issue, can someone add stop logic, i tried to get current price, but gave me an error about type quandle data.

Michael Manus INVESTOR

Update Backtest

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