Hi Actuary4life,
If you look again at the R code in quantstrattrader’s blog post, he lists the URL where he gets his XIV and VXX data. It’s from a public Dropbox file that is updated daily by script to produce price data for these two ETNs back to 2004 based on VIX futures prices… just like Harwood’s data is.
For a couple months there was a small problem with the VXX data adjusted before 2014, but I sent a message to the Dropbox owner and he fixed the script and it’s been fine ever since. I use it in my backtesting. Cheers!
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Thanks for pointing that out, i meant there was a post or from his book that he shown how he construct ed it. I just dont remember where. But, thank again, i will check the data from the dropbox link and see how different it compares to mine. i love his blog, there is lot of good stuffs there. His coding style was kinda foreign to me as first, but after follow his course in DataCamp it is good now.
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