ZeroDivisionError: float division by zero (SharpeRatio)

Maxim Korobov

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!

ab_trader

bt's Sharpe Ratio can give you zero division mistake if you use less than 1 year of data.

Maxim Korobov

Hm. I changer data range to 2 years - same result.

backtrader

That must be an old version of backtrader. This behavior is wrapped in an try/except block which will assign None to the ratio if the operation cannot be performed.

Actual code:


            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

Maxim Korobov

Yes. Same code I saw in my copy of backtrader - 1.9.20.105.

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

backtrader

In this case and even if ZeroDivisionError is defined in Python 2.7, the original tests showed the existing exceptions enough to catch the problem. Will be added.

Maxim Korobov

Great, thank you!