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.
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.
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.
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.
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.
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.
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.
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.
As a heads up Tradier identifies VXX as hard to borrow to I had to modify this to take long positions only.
In order to sell any security short, it must be available to borrow. We have an easy to borrow list that you can located by clicking the Trade button and then clicking the link for the Easy to Borrow list. VXX is not currently on the easy to borrow list. If a security is not on the easy to borrow list, you can give us a call and we can contact our clearing firm to find out if they can locate shares to short. Please be aware that if we locate shares that are not on the easy to borrow list, there could be daily fees to hold those shares short in your account.
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.
Still having trouble applying slippage...hate to ask..but any help would be appreciated! I tried using the Fixed Slippage model but after applying it, i get a runtime error..
Hi Daniel,
I had similar issues but Michael H. helped me figure it out. Make sure you have the following:
1.) Put this namespace at the top of the main class:
using QuantConnect.Orders.Slippage;
2.) Ensure the following is set for each security:
Securities["SPY"].SlippageModel = new ConstantSlippageModel(0.001m);
Apologies ahead of time as I'm as much of a beginner on this site and coding as possible, but how would I go about changing the code to go long XIV instead of short VXX? Thanks in advance!
Hi Bruce,
In the Initialize() method, you need to add data for XIV - e.g.:
AddSecurity(SecurityType.Equity, "XIV", Resolution.Minute);
And, then in OnData() for trading you can do something like this:
if ( IsLong == false)
SetHoldings("XIV", 1);
else
SetHoldings("VXX", 1);
Hope that helps.
Nik
Good stuff! Has anyone had any live success with this?
Trying to break down the strategy, took the last version wih Trailing Stop, could not find any reference to RollingWin class, so removed it, now strategy works exactly the same way as before, but giving me an error about some uninitialized object.
Backtest Handled Error: OnData: Object reference not set to an instance of an object
at QuantConnect.Algorithm.Examples.VIXIntraDay.IsEntry (QuantConnect.Data.Market.TradeBar b, System.Decimal& entryPrice, System.Boolean& IsLong) [0x00138] in <b78b78d3d8794ad0ba18dea16b27e565>:0
at QuantConnect.Algorithm.Examples.VIXIntraDay.OnData (QuantConnect.Data.Market.TradeBars data) [0x000e5] in <b78b78d3d8794ad0ba18dea16b27e565>:0
Which makes me think that some condition in this algo is redundant. I removed the whole class and it still works as it did before...
There is leftover code in the algo from different experiments I did.
The important is what is checked in "If statements" in IsEntry and IsExit. You can try to simplify the code by removing unimportant code (as long as result is the same).
Hi Nik,
I am new to quant, may I ask you why select VXX for intraday trading?
Which kind of asset is most appropriate for intrady trading ?
Thanks very much :)
Kevin
Hi,
many thanks for sharing.
For a newbi like me extremely interesting.
Could i observe the ongoing performace of your trading system on my own on the platform?
Could i exchange the the chosen intreument VIX against other instruments (eg sp500, daxx30 or eurusd forex pair?
I appreciate your support.
Kind regards,
Frank
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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