Pyfolio Integration Error : Grouper and axis must be same length

Aadhunik Sharma

Hi there,
I am trying to generate tear sheet for intraday strategy. I have followed every single part of the documentation but failed to resolve this issue.

1

pf.create_full_tear_sheet(returns=retur, positions=positions, transactions=transactions, estimate_intraday=True)

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-116-ea97606746b1> in <module>
----> 1 pf.create_full_tear_sheet(returns=retur, positions=positions, transactions=transactions, estimate_intraday=True)

~/anaconda3/lib/python3.7/site-packages/pyfolio/tears.py in create_full_tear_sheet(returns, positions, transactions, market_data, benchmark_rets, slippage, live_start_date, sector_mappings, bayesian, round_trips, estimate_intraday, hide_positions, cone_std, bootstrap, unadjusted_returns, style_factor_panel, sectors, caps, shares_held, volumes, percentile, turnover_denom, set_context, factor_returns, factor_loadings, pos_in_dollars, header_rows, factor_partitions)
    197 
    198     positions = utils.check_intraday(estimate_intraday, returns,
--> 199                                      positions, transactions)
    200 
    201     create_returns_tear_sheet(

~/anaconda3/lib/python3.7/site-packages/pyfolio/utils.py in check_intraday(estimate, returns, positions, transactions)
    306     elif estimate:
    307         if positions is not None and transactions is not None:
--> 308             return estimate_intraday(returns, positions, transactions)
    309         else:
    310             raise ValueError('Positions and txns needed to estimate intraday')

~/anaconda3/lib/python3.7/site-packages/pyfolio/utils.py in estimate_intraday(returns, positions, transactions, EOD_hour)
    350     # Cumulate transaction amounts each day
    351     txn_val['date'] = txn_val.index.date
--> 352     txn_val = txn_val.groupby('date').cumsum()
    353 
    354     # Calculate exposure, then take peak of exposure every day

~/anaconda3/lib/python3.7/site-packages/pandas/core/generic.py in groupby(self, by, axis, level, as_index, sort, group_keys, squeeze, observed, **kwargs)
   7892             squeeze=squeeze,
   7893             observed=observed,
-> 7894             **kwargs
   7895         )
   7896 

~/anaconda3/lib/python3.7/site-packages/pandas/core/groupby/groupby.py in groupby(obj, by, **kwds)
   2520         raise TypeError("invalid type: {}".format(obj))
   2521 
-> 2522     return klass(obj, by, **kwds)

~/anaconda3/lib/python3.7/site-packages/pandas/core/groupby/groupby.py in __init__(self, obj, keys, axis, level, grouper, exclusions, selection, as_index, sort, group_keys, squeeze, observed, **kwargs)
    389                 sort=sort,
    390                 observed=observed,
--> 391                 mutated=self.mutated,
    392             )
    393 

~/anaconda3/lib/python3.7/site-packages/pandas/core/groupby/grouper.py in _get_grouper(obj, key, axis, level, sort, observed, mutated, validate)
    650                 in_axis=in_axis,
    651             )
--> 652             if not isinstance(gpr, Grouping)
    653             else gpr
    654         )

~/anaconda3/lib/python3.7/site-packages/pandas/core/groupby/grouper.py in __init__(self, index, grouper, obj, name, level, sort, observed, in_axis)
    257         self.name = name
    258         self.level = level
--> 259         self.grouper = _convert_grouper(index, grouper)
    260         self.all_grouper = None
    261         self.index = index

~/anaconda3/lib/python3.7/site-packages/pandas/core/groupby/grouper.py in _convert_grouper(axis, grouper)
    680     elif isinstance(grouper, (list, Series, Index, np.ndarray)):
    681         if len(grouper) != len(axis):
--> 682             raise ValueError("Grouper and axis must be same length")
    683         return grouper
    684     else:

ValueError: Grouper and axis must be same length

Please help

backtrader

Pyfolio integration is deprecated due to API changes
Pyfolio was not designed for intraday data.