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Pardon my newbness, question on algorithm - SPY volatility

posted

Seeking Help Getting Started

Very new to this and got stuck. Any help/insight would be appreciated.

what i'm trying to backtest

All in on something (using SPY , for exmple). In the event that SMA drops x% (10%, for example) - OR volatility spikes (we'll also say 10%) ,over 30 day period, go into something less risky (TLT, for example). until sma ticks back up (using 10%, again) AND (not or) volatility also drops 10% at which point we'll go all in on SPY again. I hope that made sense.

What I've got

Import VIX from Yahoo

url ='http://www.quandl.com/api/v1/datasets/YAHOO/INDEX_VIX.csv?request_source=python&request_version=2&sort_order=asc&trim_start=2002-01-01'

Define symbols, etc

def initialize(context):
context.spy = symbol('SPY')
context.tlt = symbol('TLT')
context.date = None
fetch_csv(url,
symbol='VIX',
date_column='Date',
pre_func=add_fields)

get 30 day SMA

def handle_data(context, data):
sma = data[context.spy].mavg(30)
price = data[context.spy].price

Here's where I get stuck. I don't know what combination of if/elif/else sequences will calculate the +/- 10% scenarios AND trigger the moving between SPY & TLT.

Thanks in advance for reading this far and for any guidance.

2 responses

I'm not an expert either but it seems to me you can just use python's OR and AND operators, so:

if smachange > -10% or vixchange > 10%:  
    do something  
elif  
   do something else

if smachange > 10% and vixchange > -10%  
   do something  
elif  
   do something else

where you need to qualify smachange etc of course.

I'm not an expert either but it seems to me you can just use python's OR and AND operators, so:

if smachange > -10% or vixchange > 10% :  
   do something  
elif ...  
   do something else

if smachange > 10% and vixchange > -10% :  
   do something  
elif ...  
   do something else

where you need to qualify smachange etc of course.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.