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Hi,
As VIX index options are now available at minute resolution, one can get their hands on the underlying VIX data by calling:
OptionChains[x].Value.Underlying.PriceMeanwhile the non-hacky implementation still causes issues when geting the last intraday price. From checking Github, it seems that the issue has been merged but not released on cloud?
self.AddIndex("VIX", Resolution.Minute).SymbolWhat is keeping this from working? Is Python VIX index support in the pipeline? Is the Minute VIX data extracted from the options chain a reliable source of information.
Derek Melchin
Hi Chris,
See the attached backtest for an example of gathering the VIX price using either the index symbol or index option symbol. Both approaches are a reliable source of information.
Best,
Derek Melchin
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.
Vladimir
I have tried the above on Hour and Daily resolutions and got ArgumentExceptions:
ArgumentException : Sorry Hour is not a supported resolution for TradeBar and SecurityType.Index.
Please change your AddData to use one of the supported resolutions (Minute).
ArgumentException : Sorry Daily is not a supported resolution for TradeBar and SecurityType.Index.
Please change your AddData to use one of the supported resolutions (Minute).
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.
Derek Melchin
Hi Vladimir,
Minute resolution is the only resolution currently available for indices. Refer to the source code here.
Best,
Derek Melchin
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.
Timo Gatsonides
Could it be that there is some data missing for the VIX index?
From 2021-03-23 until 2021-05-06 it seems to return 18.90 18.90 18.88 18.88 (OHLC) for every single bar? I'm using default (minute) resolution, just the following code:
self.SetStartDate(2021, 3, 18)
self.vix = self.AddIndex("VIX")
Anyone seeing the same?
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.
Varad Kabade
Hi Timo Gatsonides,
Thank you for reporting the issue, and we apologize for any inconvenience caused. To resolve this, we have created a data issue. Please subscribe to the following for updates.
Best,
Varad Kabade
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.
Andres Arizpe
Hi,
When I run the above algo up to present day, I get VIX data only up to the previous trading day so I assume it gets loaded into the datastore at midnight or something like that and for backtesting purposes it is fine.
But will I have up-to-the-minute, current day VIX data in live mode?
Just want to make sure before jumping into development.
Cheers,
Andres
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Louis Szeto
Hi Andres
If you subscribe to data in daily resolution, you only get the daily data bar at midnight even when you're in live mode if you use the same data provider. We recommend you subscribe to minute data and consolidate the minute bars into daily bars for the same development logic.
Best
Louis
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.
Adam Adid
Hi guys i have a question is there a way to get the VIX1D for a minute resolution i can get it for VIX but when i try to do the same with VIX1D i don't get nothing.
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.
Simone Pantaleoni
Apologies :P Tagged the wrong Frank and cannot amend it now unfortunately :) anyway, better a compliment more, than one less isn't it? :P
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.
Frank Giardina
From the comments above from Frank Schikarski about using the High Yield Spread, attached is I think the FRED alternative dataset he is talking about. If someone can confirm that would be great. I did not see another dataset that fit the description
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.
Vladimir
Simone Pantaleoni,
Try this one
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Vladimir
Simone Pantaleoni,
Here is a backtest for OECD/KEI_LOLITOAA_KOR_ST_M from my June 2021 research.
I'd better chat with you in this thread.
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.
Vladimir
Simone Pantaleoni,
Here is a backtest for OECD "OECD/KEI_LOLITOAA_JPN_ST_M" from my June 2021 research.
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.
Frank Giardina
This is a work in progress. I cloned one of Vlad's earlier versions. I really like this algo for a macro view of investing. This version can probably be done in less code, average python coder here. I wanted to see what the economic stage/cycles have been since 2012 based on the kei strategy and then see how different ETFs performed in that cycle. I wanted to make it flexible enough to add and remove ETFs . Next i wanted to output the results to a comma separated log file so i could import to excel to see which ETFs performed the best. Any feedback / improvements greatly appreciated. One issue i am trying to fix is to add the number of days that a stage lasted, can't seem to get the python date functions to work (probably me)
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.
Simone Pantaleoni
Frank Giardina Thanks for joining the Team Frank! :)
I've created different versions of this strategy - the one below is what I'm using live:
PSR and DD are the best parts of this strategy in my opinion :)
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.
Frank Giardina
Very impressive, if anyone wants to conference call or collaborate and kick around some ideas, always up for that. I plan on looking at my results and trying some different approaches. Especially in the area of sub stages within the stage and how to speed the indicator. I also want to start using this in 2022
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.
JSO 2045
Hi guys. I'm pretty new to this so apologies for not having that much in the way of useful contribution to this conversation. Has anyone found a way to alleviate/offset 2022's downturn for this strategy (and a lot of others), or is the freakish nature of what's happened not something that can be effectively accounted for? Main reason for asking is that the low drawdown/volatiltiy of this strategy seemed like a big strength but has obviously taken a hit this year
All I can think of would be adding small hedges against each of the orders made by the algo in each of its “stages.” I will give it a try but am keen to hear what other peoples' thoughts are :)
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.
Frank Giardina
Not sure what to add , but there is another OECD dataset from the Federal Reserve site FRED https://fred.stlouisfed.org/ called USALOLITONOSTSAM. My understanding is this dataset is US only as opposed to the QUANDL dataset used in the algo. I have not been able to figure out how to get Quantconnect to use this data set instead. If i could figure out how to use that one instead I would. The two datasets are 90% correlated. In the meantime I am using a python notebook in Google colab to do the analysis. The Quandl indicator has indicated we are in a decline since April the FRED indicator says since March. I have noticed that with the FRED data they do go back and adjust the data so that does throw things off at times. If there is an interest in the notebook let me know and i will copy it in the post.
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.
Simone Pantaleoni
Hi Frank and JSO,The one you've picked, as you said, is US-only leading indicators - there're plenty available indeed (roughly one per country), but I would suggest to use the oecd or the world oneIn order instead to limit drawdown during 2022, just switch to cash (or “BIL” or “SHV”) when the TLT correlation to SPY is positive.Enjoy it
ps. if you like my comment, drop me some points/likes ;)
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.
Simone Pantaleoni
Just forgot to mention - I'm always open to collaborations - I'm available on Telegram or Discord (but I would prefer the first one, since I'm not a very heavy Discord user) :)
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.
JSO 2045
Simone Pantaleoni I like that idea of using the correlation, will try to give it a go. Finding a valid solution to this specific problem would help loads of strategies in the forums as well as this one. Could potentially even have a list of traditional hedges against the stock market and select the one with the lowest correlation across the last month (or something like that)
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.
Peter Guenther
Great job again, Simone Pantaleoni and Strongs, for getting this discussion started!
Sorry, time resources have been a bit tight. Anyway, I am currently musing about whether this could be used to trade FX pairs. The OECD data gives you international information about the comparative strengths of various economies. You got your interest rates, GDP growth, inflation figures, unemployment rates and so on, Based on this, one might be able to bet on one currency vs the other and/or to validate or refute existing trends in currency pairs. Hopefully, I can put something together over the next few weeks for the major currency pairs.
The time lag of the data (up to one month?) could be an issue for live trading – to what extent could be tested by simulating lagged data usage. If it is a substantive issue, the question will be whether more up-to-date datasets could be identified, such as by getting the data directly from the national bureaus of statistics or similar.
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.
Simone Pantaleoni
Hi Peter Guenther
Well spotted: publication delay can affect live performances, so to avoid so I've been “reading” the KEI value on the 15th of each month, basically taking into account the publication date instead of the “validity” date
About the FX Pair, that is actually another great idea, and should be rather easy to realize, even tough I would be curious to see if that is able to generate alpha since carry trade is also “a thing” - perhaps a better idea would be to pair trade Country-ETFs based on the related KEI strength
ps. Still need to get in touch with you privately Peter - how can I reach out to you?
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.
Peter Guenther
That's great, Simone Pantaleoni. I will definitely share as soon as I've got a first version of the FX algo.
My contact:
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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