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Easy-Volatility-Investing

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 

  1. https://www.quantconnect.com/forum/discussion/910/vxv-vix-contango-ratio-strategy
  2. https://www.quantconnect.com/forum/discussion/435/combining-multiple-custom-data-into-a-custom-indicator

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








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 

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

:(

will add moving average later

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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?

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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);
}

 

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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.


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

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OK, solution for loading VIX data is here: 

https://www.quantconnect.com/forum/discussion/2201/vix
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Fixed data issue, can someone add stop logic, i tried to get current price, but gave me an error about type quandle data.

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Update Backtest





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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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