Hi,
I am formulating a strategy that trades equity by observing the values of VIX and VXV just before market close.
Does anyone know how to (the data source and code) to implement such feature in quantopian?
Thanks
Hi Brian,
You can use the fetcher function to import any external CSV data to your algorithm. And if you're interested in trading at the market close, take a look at this code example: https://www.quantopian.com/posts/example-about-how-to-trade-at-market-close-and-clear-position-at-tomorrow-open-dot-dot-dot-and-bug-report
For previous examples of using VIX data as trade signals see these posts:
https://www.quantopian.com/posts/visualizing-implied-vs-realized-volatility
https://www.quantopian.com/posts/berkshire-class-ratio-as-a-buy-point-indicator
https://www.quantopian.com/posts/tactically-short-gamma-synthetic-via-etfs
https://www.quantopian.com/posts/vix-put-call-ratio
https://www.quantopian.com/posts/system-based-on-easy-volatility-investing-by-tony-cooper-at-double-digit-numerics
Good luck coding your strategy, if you're willing to share it publically, I'd be curious to see your version.
Cheers,
Alisa
Disclaimer
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.
Please sign in or
join Quantopian to
post a reply.
Need help?
Contact support.
Company
Learn & Support
Notices
Follow Us
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.