Event Driven Trading Strategies (Composite Strategy not properly work

Quant Trading Strategies & Ideas
1

I have just finished the course of Event Driven Trading Strategies, found that the information of Composite Strategy cannot be shown properly when I updated the ETF data.

2

Hi Alan,



Can you please share the data files (such as svxy_prices.csv, etc.) that would be required to run the code in this notebook?



Looking forward to helping you. Thanks.

3

Please find following links with all the files I used:



svxy_prices.csv - Google Drive

cboe_vix_1M.csv - Google Drive

cboe_vix_3M.csv - Google Drive

fed_days.csv - Google Drive

treasury_auction_dates.csv - Google Drive

vix_futures_expiration.csv - Google Drive

4

Hi Alan



Just add the below code line in the first cell of "Calculate strategy returns" section:

 

cumulative_strategy_returns = (combined_returns+1).cumprod().dropna()

I have added dropna at the end. Rest should work without errors.

Hope this helps.