Hi all,
I'm considering adding a moving average of VIX or put/call ratio (like the robotus post by Florent) to my last posted TMF/SPXL pair trading algo.
In the quantopian documentation it says
batch_transform will stop working some time in the future. Use history instead.
So I try to use "history" to get a slice of last 30 days' VIX values first. But "history" doesn't recognizes the imported symbol ("VIX_q" in the attached code).
Besides, it seems history only recognizes a limited number of candidates values for the keyword field, like high, low, price. So if I have a user-defined column called vixclose as in the attached code, history wont recognize it.
I found Florent used batch_transform in his robotus algo to bypass this issue. Maybe I'm missing something here, kindly show me some clue. Thanks a lot!
Best,
Han