ZeroDivisionError: float division by zero (SharpeRatio)
I made too wary strategy, which had no one trades, even positions.
Yet if it uses SharpeRatio, ZeroDivisionError apper in this code:
class SharpeRatio(Analyzer): ... ratio = ret_free_avg / retdev ...
due to retdev is zero.
It was patched dirty by:
if retdev != 0: ratio = ret_free_avg / retdev else: ratio = 0
Is it correct? Happy NY!
bt's Sharpe Ratio can give you zero division mistake if you use less than 1 year of data.
Hm. I changer data range to 2 years - same result.
That must be an old version of
backtrader. This behavior is wrapped in an
try/exceptblock which will assign
Noneto the ratio if the operation cannot be performed.
try: ratio = ret_free_avg / retdev if factor is not None and \ self.p.convertrate and self.p.annualize: ratio = math.sqrt(factor) * ratio except (ValueError, TypeError): ratio = None
Yes. Same code I saw in my copy of backtrader - 18.104.22.168.
The problem is that traceback fills the console:
Starting Portfolio Value: 1000.00 Buys total 0, profit percents 0.00 Sells total 0, profit percents 0.00 --- 2015-12-30, Ending value 1000.00 Traceback (most recent call last): File "D:/Projects/trading-bot/main/lab/backtrader/netflix.py", line 74, in <module> strategies = back_trader.run() File "C:\Users\Home\AppData\Local\Programs\Python\Python35-32\lib\site-packages\backtrader\cerebro.py", line 809, in run runstrat = self.runstrategies(iterstrat) File "C:\Users\Home\AppData\Local\Programs\Python\Python35-32\lib\site-packages\backtrader\cerebro.py", line 934, in runstrategies strat._stop() File "C:\Users\Home\AppData\Local\Programs\Python\Python35-32\lib\site-packages\backtrader\strategy.py", line 417, in _stop analyzer._stop() File "C:\Users\Home\AppData\Local\Programs\Python\Python35-32\lib\site-packages\backtrader\analyzer.py", line 194, in _stop self.stop() File "C:\Users\Home\AppData\Local\Programs\Python\Python35-32\lib\site-packages\backtrader\analyzers\sharpe.py", line 178, in stop ratio = ret_free_avg / retdev ZeroDivisionError: float division by zero
In this case and even if
ZeroDivisionErroris defined in Python
2.7, the original tests showed the existing exceptions enough to catch the problem. Will be added.
Great, thank you!