Hi
Thanks for adding the VIX Premium Strategy Indices.
When I chart them they look perfect, and go back to the real starting date. I had cleared local files and Perform Bulk Data Update.
BUT when I run the simplest Building Block strategy imaginable - just Buy at Market with no conditions, and use $100k account, 100% equity size position, and 1.1 margin, on All Data (data range) against SPY benchmark I get a strange result with each index. Not just only a few years, but it also doesn't make sense.
I turned commission, slippage and margin rate all off.
Any ideas please?
Thanks and regards
Rod
Thanks for adding the VIX Premium Strategy Indices.
When I chart them they look perfect, and go back to the real starting date. I had cleared local files and Perform Bulk Data Update.
BUT when I run the simplest Building Block strategy imaginable - just Buy at Market with no conditions, and use $100k account, 100% equity size position, and 1.1 margin, on All Data (data range) against SPY benchmark I get a strange result with each index. Not just only a few years, but it also doesn't make sense.
I turned commission, slippage and margin rate all off.
Any ideas please?
Thanks and regards
Rod
Rename
Could it be that at one point the $100K won't buy a single lot of a high-priced index and the trading simply stopped (not enough funds), right?
P.S. "Strange results" is a suboptimal problem description so I renamed the topic's title.
P.S. "Strange results" is a suboptimal problem description so I renamed the topic's title.
The data is coming from another source.
Move CBOE to the Top of the list of Historical Providers.
Move CBOE to the Top of the list of Historical Providers.
QUOTE:Nope. It's a buy and hold strategy.
the trading simply stopped (not enough funds), right?
QUOTE:
Nope. It's a buy and hold strategy.
Right, I overlooked that it's a single B&H block.
Ah Cone, you are a smart man. That was the answer.
Is there a way to search the datasets to find out if there is some other VPD symbol somewhere? I have many datasets and couldn't find anything but obviously there is an erroneous VPD somewhere.
Thanks
Rod
Is there a way to search the datasets to find out if there is some other VPD symbol somewhere? I have many datasets and couldn't find anything but obviously there is an erroneous VPD somewhere.
Thanks
Rod
It doesn't have to be in a DataSet. The first source in the Historical Providers list that finds data for the symbol will return it.
It looks like this one is coming from Yahoo!.
It looks like this one is coming from Yahoo!.
To force it to come from a specific Provider, create a linked DataSet with the symbol(s) desired and then use that DataSet in the backtest.
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