Quantec made a great C2 explorer query called “Hypothetical Value Added Intraday Index” I really like it. It allows you to put in various System Id’s and compare how they did over the same time period. He saved it primarily with Volatility strategies. I think it would be great if someone who knows how to do it could add to the code the ability to compare to an appropriate index. For example, with all the volatility strategies that he has the code saved with, it would be awesome if we could also graph “XIV” to allow us to compare how those strategies did vs. a simple buy and hold strategy of “XIV”
For the record this would be a great addition to the C2 equity charts if we could have the ability to graph things other than the S&P 500 against a strategy.
I don’t think C2 allows us to simply pull a chart of XIV. However, I figured we may be able to make our own by using the closed trades of XIV in all the strategies of C2. There would obviously be gaps of data, but I think XIV is traded on enough strategies that the graph would have plenty of data points. Then all the volatility strategies could be graphed against a simple buy and hold of XIV. I know that you can find all trades of XIV and the trade prices and the times at which they occurred. I am just unclear on how to graph them with the base of Quantec’s code.
Anyone who knows how to use C2 explorer better than me think this is doable? I think it would be a great addition for the community.