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chrism2671 / PyTrendFollow

PyTrendFollow - systematic futures trading using trend following
MIT License
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VIX quandl data import #4

Open miguelvm opened 6 years ago

miguelvm commented 6 years ago

On march 26th 2007 VIX futures where rescaled as described in http://cfe.cboe.com/publish/CFEinfocirc/CFEIC07-003%20.pdf

Data imported from quandl before this date should be divided by 10 in order to backtest accurately.

chrism2671 commented 6 years ago

Ah yes, this happens a bunch with historic data. I'll be rewriting this section so that data can be reformatted on the fly (currently it's reformatted on download, which is problematic in situations like these).