Reference: http://empiritrage.com/wp-content/uploads/2012/11/VBA_public_v01.pdf
Short backtest due to the fact that I had to use VXX to proxy VIX, which is not ideal because both it's too short as well as the persistent negative bias of the VIX ETNs due to negative roll yield. Still, interesting idea.
I fixed a bug where it wasn't exiting positions when risk-off hit, and also added "risk-off" assets like TLT treasury ETF and IAU gold ETF. This seems like a good start to a simple, robust asset allocation strategy.
Hah, fixing the same bug to exit risk-off positions when risk-on hits dramatically worsens the performance!
Hello Simon,
The topic of incorporating external data sources has been discussed on Quantopian (e.g. see https://www.quantopian.com/posts/different-kinds-of-data-sources). Until more sophisticated tools become available, I suggested a brute-force copy-and-paste approach of the external data into the algorithm editor. I have not tried this yet, but I was advised that each algorithm can be up to 16 MB. So, unless there is lots of overhead, the technique should work for your algorithm above.
The daily VIX history can be downloaded from Yahoo finance (see http://finance.yahoo.com/q/hp?s=^VIX+Historical+Prices). Then, it's a matter of sorting out how to get it into a format that would be suitable for pasting into the algorithm. My inclination is to just put the data in a numpy array, but there is probably a better approach (I'll post a question).
Once we sort out the details, you should be able to re-run your algorithm with the actual, daily VIX data...I think.
Grant
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