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I am looking at vendors of daily historical data.

I have been downloading data from Yahoo Finance for a while and, like others, am not happy it is broken. However, Yahoo was never obliged to provide me with free historical data. It's fine to use free data, but one lesson I am learning is that if you are using the data for your trading, it is...

I have a volatility strategy that trades XIV with an S&P hedge. I have another strategy that trades closed-end funds. If you are trading more than futures, and you are just starting out with OPM, what structure should you use?

Based on https://ibkb.interactivebrokers.com/node/188/ I think it is possible to trade futures in an IRA account at Interactive Brokers with 3x margin requirements. Does anyone do this? What is a good broker to use for futures trading in an IRA? I did see the thread "Problems trading futures in...

I was, unfortunately, short XIV coming in to today, since the VIX futures term structure was so flat. On average, the slope of the term structure has had a positive correlation with XIV returns. The French election, like the U.S. presidential election and the Brexit vote, was an example of a...

Yes -- quoting Reuters: (Updates with analyst comment; updates prices) ** CBOE Volatility Index <.VIX> falls the most since Nov 9, after pro-EU centrist Emmanuel Macron's weekend victory in the first round of the French election reduced some uncertainty [nL8N1HW3GT] ** VIX down 3.31 pts...

Thanks for the links, but buying/selling a stock when it is below/above a moving average is a plausible mean-reversion strategy. Change the sign of the position of a trend-following system, and you have a mean-reversion system. The question is whether it will work.

The Caltech Quantitative Finance Group has criticized the quality of intraday stock data from kibot. They prefer QuantQuote.

Thanks for your reply and for the backtrader project. I should have written that the strategy is to own the N most oversold stocks each day. Then the exit criterion is to sell the stock when it is no longer one of those N most oversold.

Interesting, but the short-term (9 calendar days) volatility index, VXST closed today (Thursday) only at 12.75, well below VIX at 15.96. If the market were especially concerned about possible events this weekend, I'd expect VXST to be above VIX.

Thanks. Backtrader https://github.com/mementum/backtrader looks especially useful to me since it's in Python, which I use.

For a group of M related stocks that I specify, I would like to backtest the strategy of buying at the close, each day, equal dollar amounts of the N stocks that are most oversold, defined as being the most below (on a percentage basis) their P-day moving averages. (For example, I could own the...

Yes, I read it. The book was "The Options Edge: Winning the Volatility Game with Options On Futures".

To harvest the volatility risk premium in SPY, you could sell 1-month ATF SPY straddles, delta hedge daily at the close during the month, and repeat the process monthly. I have done such analyses in the past, and it's a lot of work, because you need to (1) buy a set of option data (2) find the...

The implied vol of VXX is often much higher than trailing realized vol. Does anyone follow a systematic strategy of selling VXX volatility? Does it have a higher Sharpe ratio than selling SPY or SPX straddles? I understand that VXX can be quite volatile.

Why are VIX futures inverted (April at 16.41, May at 14.94) when the April futures are not at a very high absolute level? And when the front month VIX future (UX1) is higher than the second month (UX2), usually spot VIX is even higher than UX1, but now it is lower, at 16.01. Some events that...

Interactive Brokers lets you import a set of trades from a CSV file. Which other brokers do so? I am interested in trading stocks, ETFs, and futures.

I am a heavy Fortran user also. One can think of it as a sort of compiled Matlab, and there are plenty of quant traders using Matlab. I use the gfortran compiler, and to a lesser extent g95. What compilers do you use?

"Apophenia is the spontaneous perception of connections and meaningfulness of unrelated phenomena." Cool, I learned a new word.

The R^2 of the regression of the stock price vs. time is an estimate of trend smoothness. A stock rising or falling the same amount daily would have an R^2 of 1.