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Pipeline not able to get the last VIX movements
yooz ln
edited

Hi,

I am building this simple algo on S&P500 ETF, buying the SP when VIX has decreased past 24hours, selling it otherwise.

For some reason my algo is systematically long (meaning that VIX[t1]-VIX[t0] is systematically negative...) But I can monitor the VIX data. Would you have a solution, or at least a way to monitor the output to check the data computed in my function?

Here is my code: 

class last_diff1 (CustomFactor):  
    #out is the 1st difference of the VIX today compared to yesterday  
    inputs = [cboe_vix.vix_close]  
    window_length=2  
    def compute (self, today, assets, out, close):  
        out[:] = close[-1] - close[-2]  



def my_rebalance(context, data):  
    # Calculating the last VIX delta  
    dta = last_diff1()  
    threshold_vix= 0

    if dta < threshold_vix:  
         order_target_percent(context.sp500, 1)  
    elif dta > threshold_vix:  
         order_target_percent(context.sp500, -1)

Thanks.

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