QUANTCONNECT COMMUNITY
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.
Ricky Jury
Looking forward to trying this out in production environment, especially as I use ATR-based stop exits with my current production algo and find them favourable. Plus I can see longevity in this code because of the universe scanning aspect, also something that proves this works better than strategies focused on a few assets that just happen to perform well in a timeframe.Â
Any considerations youve found when deploying to paper or to live? Happy to provide you feedback here as I trial this.Â
Considering adding broker side Stop Loss/Take Profit if its not included which I use as mandatory when operating real money accounts.Â
Simon Rey
Nice algorithm. However, why not using Vix data from QuantConnect?
It seems that the request to https://cdn.cboe.com/api/global/us_indices/daily_prices/VIX_History.csv in your code introduces a look-ahead bias? Especially you are reading the value for a given day, but it seems that you get the value at close while is it still the morning.
Rudy Osuna
Hi Grant, thank you for your contribution! Please make a minor update to your def Reader(self, config, line, date, isLive) method in the CBOE(PythonData) class to remove the look ahead bias:
We can notice the look ahead bias if we plot/timestamp both self.vix = self.add_index("VIX", Resolution.DAILY) and your self.AddData(self.CBOE, "VIX", Resolution.Daily).Symbol the indicator is constantly fetching T+1 daily data, see source comparison code here:
To fix this, you can either:
 I have went ahead and made either change for you, please choose the one you prefer. Â
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.
Togawa Sakiko
Avoid curve-fitting the backtest results using overly specific "magic numbers" for parameters. A robust strategy should generalize well across different market regimes and rely on solid theoretical logic rather than memorizing historical drawdowns.
QuantConnect Reconciliation
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.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!