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struggling with fetcher.... pls help

HI guys,

I trying to import an index VXMT (medium term vix) whihc I cannot get from Quandle nor from Yahoo :(

http://www.cboe.com/publish/scheduledtask/mktdata/datahouse/vxmtdailyprices.csv

The main issue is that the file has 2 lines in the beginning that I need to remove before processing. How can I do that? Can I use pre_func?

Basically I would like to have something we have in R:
vxmt <- xts(read.zoo("vxmtData.csv", header=TRUE, sep=",", format="%m/%d/%Y", skip=2)) where you say you want to skip 2 lines

I would like to use this file for the contest.... so any help would be appreciated . I promise I'll lose ;)

1 response

Hey Peter,

Here's a backtest that has the skiprows parameter in the fetch_csv. A very nice, but undocumented, feature of fetcher is that you can use most of the parameters that pandas.DataFrame.read_csv accepts (http://pandas.pydata.org/pandas-docs/stable/generated/pandas.io.parsers.read_csv.html). You also need the checks for data availability in the handle_data.

One other thing you need to think about is whether you need to lag the data by a business day. If you have a lookahead bias in backtest, you'll have severe problems in the out of sample portion of the Open.

may the best algo win,
fawce

Clone Algorithm
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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
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Max Drawdown
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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: 54ce4718a8fdc040859c586c
There was a runtime error.
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