Hey guys,
quantopian and phython noob here. I wanna set the cboe_vix as a benchmark in my algo.
How do i do that? I found the set_benchmark(sid()) function, but the cboe_vix data is not available as sid.
Thanks for any help
best regards
Max
Quantopian only supports something tradeable as the benchmark. Under the covers, Quantopian is actually buying the benchmark at the opening of your backtest and then calculating the value with splits and dividends and so forth moving forward.
VIX is an index, and you can't actually buy/sell it. Instead, pick an ETF that models what you're looking for.
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as i wrote in my post i do not want to buy or sell it. I want to have it as a benchmark. CBOE provides the historical VIX data, i just do not know how to implement it.
You can't change the built-in benchmark to anything not buyable in Q, and if you're not satisfied with set_benchmark(symbol('VXX')) you can still do this in a different way...
Check out one of the many VIX trading algos on the forum and you'll see how they fetch the VIX data.
Then you can use the record() function to graph the vix close, and use another record() to graph your pnl, and that way you can see them side-by-side on the same graph.
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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.