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Simple VXX rebalancing algo

Hi, 

Is there a way to create a simple algo that do the following:

- buy 95% of the portfolio in SPY
- buy 5% of the portfolio in VXX (or VXXB)

Rebalance VXX on a daily basis to keep the 5% ratio.

It is my firts algo trading experience, any help would be greatly appreciated.

Thank you,

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.


Hi and welcome!

Yes, that's absolutely possible.

If I were you, I'd start reading up on the documentation and going through the Bootcamp available in the terminal to learn the basics of the framework (such as how to add securities to your algorithm, open positions as %age of portfolio, rebalance, etc.)

To schedule events, have a look at this documentation entry.

Good luck!

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Hi Jeffrey.

It is relatively simple to construct this algorithm using QuantConnect. I've attached a backtest where I demonstrate how to invest in the ETFs VXX and SPY and then rebalance the portfolio daily so that weights remain constant, 95% in SPY and 5% in VXX. Good luck!

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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.


Thank you very much for the help folks, very useful info!

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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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