- ago
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

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- ago
#1
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.
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Cone8
 ( 6.30% )
- ago
#2
The data is coming from another source.
Move CBOE to the Top of the list of Historical Providers.

QUOTE:
the trading simply stopped (not enough funds), right?
Nope. It's a buy and hold strategy.
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Best Answer
- ago
#3
QUOTE:
Nope. It's a buy and hold strategy.

Right, I overlooked that it's a single B&H block.
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- ago
#4
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
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Cone8
 ( 6.30% )
- ago
#5
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!.
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Glitch8
 ( 11.87% )
- ago
#6
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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