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I came across an interesting document written by Tony Cooper named http://www.naaim.org/wp-content/uploads/2013/10/00R_Easy-Volatility-Investing-+-Abstract-Tony-Cooper.pdf. Searching in the community VXV has led me to some simple code where people tried to implement that strategies from the document but didn't post it.
I literally copied that parts together from
- https://www.quantconnect.com/forum/discussion/910/vxv-vix-contango-ratio-strategy
- https://www.quantconnect.com/forum/discussion/435/combining-multiple-custom-data-into-a-custom-indicator
to the very first alpha version. If you want you can test some stuff and report back. I will post further changes later.
Michael Manus
Strategy 3 implemented with slices from here:
https://www.quantconnect.com/forum/discussion/592/how-to-refer-to-multiple-quandl-symbols
without Moving Average with only 1 Trade. added 5 lines to the sample in the link above
Michael Manus
Same sample from above with slices but starting 2015: 510 Trades + Black Monday on 24 August 2015
:(
will add moving average later
Deric Horn
Curious if you have an update. Looks like YAHOO/INDEX_VIX stopped working in 2017. Is there a single location to get 2016-2017 data?
Alexandre Catarino
Deric Horn, Quandl still provides VIX from Yahoo under the YAHOO/INDEX_VIX ticker.
On the other hand, VXV is now CBOE/VXV. Here is the code to check it out:
public override void Initialize() { SetStartDate(2015, 1, 1); AddData<Quandl>("YAHOO/INDEX_VIX", Resolution.Daily); AddData<Quandl>("CBOEFE/INDEX_VXV", Resolution.Daily); AddData<Quandl>("CBOE/VXV", Resolution.Daily); } public void OnData(Slice data) { Plot("VIX", "EOD", Securities["YAHOO/INDEX_VIX"].Price); Plot("VXV", "OLD", Securities["CBOEFE/INDEX_VXV"].Price); Plot("VXV", "NEW", Securities["CBOE/VXV"].Price); }Mark Horvath
"CBOE/VXV" seems to still work, but none of the other approaches work for VIX. Any ideas on how to obtain for a backtest?
Mark Horvath
OK, solution for loading VIX data is here:
Jack Pizza
Fixed data issue, can someone add stop logic, i tried to get current price, but gave me an error about type quandle data.
Michael Manus
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