Hi, there.
I've just started quantopian. I want to learn quantopian!
To check calender spread at Light Sweet Crude Oil future, I wroted some codes.
The histgram in the code means
- long front futures, short next futures when spread < -2
- short front futures, long next futures when spread > 2
This is a very simple code.
Please give me any comments, like 'there is more excellent article' or 'you should revise code'
Thanks.
日本語コメントも歓迎してます。
I researched futures calender spreads about wti oil, s&p500, gold, tnote 10yr.
Please check notebook, it's easy to research other future's calender spread.
I wonder why futures data is not completed?
For example CL20 data is all empty, vix future data is end 2016, and so on.
You can see the data weirdness where print(xxx_close.columns).
Does anybody know where completed clean future data is?
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