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Hey,

I need someone to check this algo to spot any potential mistakes I may have made; this seems too high a return. Pardon the code, I'm new to python.

2 responses

Probably it's using the closing prices of VIX/VXV first thing in the morning, a clear data-snooping bias. You have to be really careful to shift data when using fetch_csv.

I was just having the same issue and i think i got it resolved, heres the thread
https://www.quantopian.com/posts/shifting-csv-data-simple-question