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New User - Looking to build strategy using VIX and VXV - Is it possible to get this daily data

Looking to build strategy using VIX and VXV - Is it possible to get this daily data

3 responses

Hi Miles, there's a number of VIX algos floating around quantopian and the quant blogosphere. We've collected a bunch on the quantapolis.com wiki - see the Volatility selling section.

wow Origin! Your wiki post should be like a sticky in the community page ... never saw it before - thanks.

Miles - check out link below and attached which should get you started on obtaining daily data

https://www.quantopian.com/posts/which-algorithms-did-well-during-the-aug-2015-correction
VXX XIV by Mr. Bakker (check out his other posts also)

also attached another Mr. Bakker algo which uses VIX or WVF as signals but trades SPXS (his original also is somewhere in this forum - I changed quite a bit in the below so quite different from his original)

Clone Algorithm
70
Loading...
Backtest from to with initial capital
Total Returns
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Alpha
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Beta
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Sharpe
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Sortino
--
Max Drawdown
--
Benchmark Returns
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Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 55dc98b9298dcb0daf315f1e
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