def main():
import vix_scratchpad
start, end = '2014-01-01', '2015-10-20'
vix = vix_scratchpad.price_data('VIX', start, end)
vxv = vix_scratchpad.price_data('^VXV', start, end)
vix = vix.convert_objects(convert_numeric=True)
vxv = vxv.convert_objects(convert_numeric=True)
IVTS_1d = vix['Close']/vxv['Close']
return IVTS_1d
def main():
import get_position
position = get_position.main()
import vix_scratchpad
start, end = '2014-01-01', '2015-10-20'
vxx = vix_scratchpad.price_data('VXX', start, end)
vxx = vxx.convert_objects(convert_numeric=True)
vxx['diff'] = vxx['Close'].shift(1) - vxx['Close']
rets = vxx['diff'] * position
rets2 = (vxx['diff'] * position)/vxx['Close']
return rets, rets2, vxx