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Stock prediction using sentiment analysis error



  • I've been getting different errors and since I'm new to backtrader, its been difficult to resolve it.
    First I was using YahooFinance Data and it was giving me this error:
    AttributeError: 'NoneType' object has no attribute 'close'

    Then I changed it to Quandl and now it is giving me this error:

    Starting Portfolio Value: 100000.00
    ---------------------------------------------------------------------------
    TypeError                                 Traceback (most recent call last)
    <ipython-input-71-0bf63207fcf8> in <module>
        145     cerebro.broker.setcommission(commission=0.001)
        146     print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    --> 147     cerebro.run()
        148     print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
        149 
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/cerebro.py in run(self, **kwargs)
       1125             # let's skip process "spawning"
       1126             for iterstrat in iterstrats:
    -> 1127                 runstrat = self.runstrategies(iterstrat)
       1128                 self.runstrats.append(runstrat)
       1129                 if self._dooptimize:
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/cerebro.py in runstrategies(self, iterstrat, predata)
       1291                     self._runonce_old(runstrats)
       1292                 else:
    -> 1293                     self._runonce(runstrats)
       1294             else:
       1295                 if self.p.oldsync:
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/cerebro.py in _runonce(self, runstrats)
       1650         '''
       1651         for strat in runstrats:
    -> 1652             strat._once()
       1653             strat.reset()  # strat called next by next - reset lines
       1654 
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/lineiterator.py in _once(self)
        295 
        296         for indicator in self._lineiterators[LineIterator.IndType]:
    --> 297             indicator._once()
        298 
        299         for observer in self._lineiterators[LineIterator.ObsType]:
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/lineiterator.py in _once(self)
        315         # indicators are each called with its min period
        316         self.preonce(0, self._minperiod - 1)
    --> 317         self.oncestart(self._minperiod - 1, self._minperiod)
        318         self.once(self._minperiod, self.buflen())
        319 
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/indicator.py in oncestart_via_nextstart(self, start, end)
        122 
        123             self.advance()
    --> 124             self.nextstart()
        125 
        126     def once_via_next(self, start, end):
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/lineiterator.py in nextstart(self)
        345 
        346         # Called once for 1st full calculation - defaults to regular next
    --> 347         self.next()
        348 
        349     def next(self):
    
    <ipython-input-71-0bf63207fcf8> in next(self)
         25         if date in date_sentiment:
         26             self.sentiment = date_sentiment[date]
    ---> 27         self.lines.sentiment[0] = self.sentiment
         28 
         29 
    
    ~/Library/Python/3.7/lib/python/site-packages/backtrader/linebuffer.py in __setitem__(self, ago, value)
        220             value (variable): value to be set
        221         '''
    --> 222         self.array[self.idx + ago] = value
        223         for binding in self.bindings:
        224             binding[ago] = value
    
    TypeError: must be real number, not LineBuffer
    

    Here's my code:

    from __future__ import (absolute_import, division, print_function,
                                unicode_literals)
    
    %matplotlib inline
    import warnings
    warnings.filterwarnings('ignore')
    
    import backtrader as bt
    import backtrader.indicators as btind
    import datetime
    import os.path
    import sys
    
    class Sentiment(bt.Indicator):
        lines = ('sentiment',)
        plotinfo = dict(
            plotymargin=0.15,
            plothlines=[0],
            plotyticks=[1.0, 0, -1.0])
        
        def next(self):
            self.date = self.data.datetime
            date = bt.num2date(self.date[0]).date()
            prev_sentiment = self.sentiment
            if date in date_sentiment:
                self.sentiment = date_sentiment[date]
            self.lines.sentiment[0] = self.sentiment
    
    
    
    class SentimentStrat(bt.Strategy):
        params = (
            ('period', 15),
            ('printlog', True),
        )
    
        def log(self, txt, dt=None, doprint=False):
            ''' Logging function for this strategy'''
            if self.params.printlog or doprint:
                dt = dt or self.datas[0].datetime.date(0)
                print('%s, %s' % (dt.isoformat(), txt))
    
        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
            # Keep track of pending orders
            self.order = None
            self.buyprice = None
            self.buycomm = None
            self.sma = bt.indicators.SimpleMovingAverage(
                self.datas[0], period=self.params.period)
            self.date = self.data.datetime
            self.sentiment = None
            Sentiment(self.data)
            
        def notify_order(self, order):
            if order.status in [order.Submitted, order.Accepted]:
                # Buy/Sell order submitted/accepted to/by broker - Nothing to do
                return
            
            # Check if an order has been completed
            # Attention: broker could reject order if not enough cash
            if order.status in [order.Completed]:
                if order.isbuy():
                    self.log(
                        'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                        (order.executed.price,
                         order.executed.value,
                         order.executed.comm))
                    self.buyprice = order.executed.price
                    self.buycomm = order.executed.comm
                else:  # Sell
                    self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                             (order.executed.price,
                              order.executed.value,
                              order.executed.comm))
                    
                self.bar_executed = len(self)     
                
            elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                self.log('Order Canceled/Margin/Rejected')
                
            # Write down: no pending order
            self.order = None
            
        def notify_trade(self, trade):
            if not trade.isclosed:
                return
    
            self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                     (trade.pnl, trade.pnlcomm))
        
        ### Main Strat ###
        def next(self):
            # log closing price of the series from the reference
            self.log('Close, %.2f' % self.dataclose[0])
            
            date = bt.num2date(self.date[0]).date()
            prev_sentiment = self.sentiment
            if date in date_sentiment:
                self.sentiment = date_sentiment[date]
            
            # Check if an order is pending. if yes, we cannot send a 2nd one
            if self.order:
                return
            print(self.sentiment)
            # If not in the market and previous sentiment not none
            if not self.position and prev_sentiment:
                # buy if current close more than sma AND sentiment increased by >= 0.5
                if self.dataclose[0] > self.sma[0] and self.sentiment - prev_sentiment >= 0.5:
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
                    self.order = self.buy()
                    
            # Already in the market and previous sentiment not none
            elif prev_sentiment:
                # sell if current close less than sma AND sentiment decreased by >= 0.5
                if self.dataclose[0] < self.sma[0] and self.sentiment - prev_sentiment <= -0.5:
                    self.log('SELL CREATE, %.2f' % self.dataclose[0])
                    self.order = self.sell()
    
        def stop(self):
            self.log('(MA Period %2d) Ending Value %.2f' %
                     (self.params.period, self.broker.getvalue()), doprint=True)
            
        
    if __name__ == '__main__':
        cerebro = bt.Cerebro()
        
        # Strategy
        cerebro.addstrategy(SentimentStrat)
    
        # Data Feed
        data = bt.feeds.Quandl(
            dataname = 'FB',
    #        fromdate = earliest_date,
            fromdata = datetime.datetime(2019,10,4),
            todate = datetime.datetime(2019,10,22),
            reverse = False
        )
        
        cerebro.adddata(data)
    
        cerebro.broker.setcash(100000.0)
        cerebro.addsizer(bt.sizers.FixedSize, stake=10)
        cerebro.broker.setcommission(commission=0.001)
        print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
        cerebro.run()
        print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
        
        cerebro.plot()
    


  • @Shubham-Puri said in Stock prediction using sentiment analysis error:

        if date in date_sentiment:
            self.sentiment = date_sentiment[date]
    

    seems that date_sentiment is not defined in the Sentiment class. Also self.sentiment is not defined as well. At least in the code shown.


  • administrators

    @Shubham-Puri said in Stock prediction using sentiment analysis error:

            if date in date_sentiment:
                self.sentiment = date_sentiment[date]
            self.lines.sentiment[0] = self.sentiment
    

    The first time you go into the code the if date in date_sentiment evaluates to False. As such the declaration and assigment of self.sentiment = xxxxxxx is not executed and this member attribute does NOT exist.

    You then do

    self.lines.sentiment[0] = self.sentiment
    

    The best the indicator can do, given the undefined self.sentiment is to look in the lines declaration and see if sentiment exists there ... and yes. It is a line buffer which you try to assign to itself in a point in time.

    Define self.sentiment to have another name and you will quickly see the error popping up.


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