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(This article was first published on <strong><a href="https://quantstrattrader.wordpress.com/2017/10/23/the-return-of-free-data-and-possible-volatility-trading-subscription/"> R – QuantStrat TradeR</a></strong>, and kindly contributed to <a rel="nofollow" href="https://www.r-bloggers.com/">R-bloggers)</a> </div>
<p>This post will be about pulling free data from AlphaVantage, and gauging interest for a volatility trading subscription service.</p>
<p>So first off, ever since the yahoos at Yahoo decided to turn off their free data, the world of free daily data has been in somewhat of a dark age. Well, thanks to <a rel="nofollow" href="http://blog.fosstrading.com/2017/10/getsymbols-and-alpha-vantage.html#gpluscomments" target="_blank">http://blog.fosstrading.com/2017/10/getsymbols-and-alpha-vantage.html#gpluscomments</a><a rel="nofollow" href="http://blog.fosstrading.com/2017/10/getsymbols-and-alpha-vantage.html#gpluscomments" target="_blank">Josh Ulrich, Paul Teetor, and other R/Finance individuals</a>, the latest edition of quantmod (which can be installed from CRAN) now contains a way to get free financial data from AlphaVantage since the year 2000, which is usually enough for most backtests, as that date predates the inception of most ETFs.</p>
<p>Here’s how to do it.</p>
<p>First off, you need to go to alphaVantage, register, and <a rel="nofollow" href="https://www.alphavantage.co/support/#api-key" target="_blank">https://www.alphavantage.co/support/#api-key</a><a rel="nofollow" href="https://www.alphavantage.co/support/#api-key" target="_blank">get an API key</a>.</p>
<p>Once you do that, downloading data is simple, if not slightly slow. Here’s how to do it.</p>
<pre>
require(quantmod)

getSymbols('SPY', src = 'av', adjusted = TRUE, output.size = 'full', api.key = YOUR_KEY_HERE)
</pre>
<p>And the results:</p>
<pre>
> head(SPY)
           SPY.Open SPY.High SPY.Low SPY.Close SPY.Volume SPY.Adjusted
2000-01-03   148.25   148.25 143.875  145.4375    8164300     104.3261
2000-01-04   143.50   144.10 139.600  139.8000    8089800     100.2822
2000-01-05   139.90   141.20 137.300  140.8000    9976700     100.9995
2000-01-06   139.60   141.50 137.800  137.8000    6227200      98.8476
2000-01-07   140.30   145.80 140.100  145.8000    8066500     104.5862
2000-01-10   146.30   146.90 145.000  146.3000    5741700     104.9448
</pre>
<p>Which means if any one of my old posts on asset allocation has been somewhat defunct thanks to bad yahoo data, it will now work again with a slight modification to the data input algorithms.</p>
<p>Beyond demonstrating this routine, one other thing I’d like to do is to gauge interest for a volatility signal subscription service, for a system I have personally started trading a couple of months ago.</p>
<p>Simply, I have seen other websites with subscription services with worse risk/reward than the strategy I currently trade, which switches between XIV, ZIV, and VXX. Currently, the equity curve, in log 10, looks like this:</p>
<p><img data-orig-file="https://quantstrattrader.files.wordpress.com/2017/10/volstratperf3.png?w=456" data-orig-size="1002,539" data-medium-file="https://quantstrattrader.files.wordpress.com/2017/10/volstratperf3.png?w=456?w=300" data-attachment-id="1403" data-image-meta="{" data-image-description="" src="https://quantstrattrader.files.wordpress.com/2017/10/volstratperf3.png?w=456" data-permalink="https://quantstrattrader.wordpress.com/2017/10/23/the-return-of-free-data-and-possible-volatility-trading-subscription/volstratperf-4/#main" data-large-file="https://quantstrattrader.files.wordpress.com/2017/10/volstratperf3.png?w=456?w=640" alt="volStratPerf" data-image-title="volStratPerf" sizes="(max-width: 640px) 100vw, 640px" data-comments-opened="1" class="wp-image-1403" data-recalc-dims="1"></p>
<p>That is, $1000 in 2008 would have become approximately $1,000,000 today, if one was able to trade this strategy since then.</p>
<p>Since 2011 (around the time of inception for XIV), the performance has been:</p>
<pre>

                        Performance
Annualized Return         0.8265000
Annualized Std Dev        0.3544000
Annualized Sharpe (Rf=0%) 2.3319000
Worst Drawdown            0.2480087
Calmar Ratio              3.3325450
</pre>
<p>Considering that some websites out there charge upwards of $50 a month for either a single tactical asset rotation strategy (and a lot more for a combination) with inferior risk/return profiles, or a volatility strategy that may have had a massive and historically record-breaking drawdown, I was hoping to gauge a price point for what readers would consider paying for signals from a better strategy than those.</p>
<p>Thanks for reading.</p>
<p>NOTE: I am currently interested in networking and am seeking full-time opportunities related to my skill set. My LinkedIn profile can be found <a rel="nofollow" href="https://www.linkedin.com/in/ilyakipnis/" target="_blank">here</a>.</p>
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