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Using VIX in futures algorithms

It is my understanding that Pipeline cannot be used with futures trading.

How could one therefore make use of the VIX S&P500 Volatility free data set with an algorithm that trades futures?

2 responses

Hey Tim,

You could download VIX data directly from CBOE, and use fetch_csv to upload the data for backtesting. You will need to host the csv file on a public url for fetch_csv to work. This can be done easily with Google Sheets, just follow these steps:

1) Upload file to Google Drive
2) Click on it and open with Google Sheets
3) Click on File-> Publish to the web...
4) Click on "Web page" and change to "Comma-separated values (.csv)"
5) Click on publish
6) Copy link and paste into your algorithm

The link Google Sheets gives you after publishing your file should work seamlessly with fetch_csv.

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Many thanks, Ernesto!