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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 :(

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 ( 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,

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
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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