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Volatility Model Reality Modelling

Hi there,

I was implementing the VolatilityModel from Reality Modelling:

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/CustomVolatilityModelAlgorithm.py

I added my custom VolatilityModel (see line 104) but it gives me weird results (see line 183 self.Debug(str("Volatility1: " + str(aa)))  )

The result is not giving me the proper value. I changed the initial value of volatility to 1.111 (see VolatilityModel Class) and the 2 less than 2 days error volatility value to 9.66.

Update Backtest







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Hi Daniel,

Can you attach a backtest which shows this issue?

Best,
Derek Melchin

0

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.


Update Backtest





0

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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