bt.analyzers.PyFolio

Sam

Hi everyone, I came across a problem ! I have tow datas one is minutes and the other is resampled from minutes data.
then I add "cerebro.addanalyzer(bt.analyzers.PyFolio)" and I got exceptions below. thank you for helping me!

Traceback (most recent call last):
File "E:/STOCK/test.py", line 109, in <module>
cerebro.run()
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1630, in _runnext
strat._next()
File "D:\Python\lib\site-packages\backtrader\strategy.py", line 350, in _next
self._next_analyzers(minperstatus)
File "D:\Python\lib\site-packages\backtrader\strategy.py", line 388, in _next_analyzers
analyzer._prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 150, in _prenext
child._prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 152, in _prenext
self.prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 229, in prenext
self.next()
File "D:\Python\lib\site-packages\backtrader\analyzers\positions.py", line 78, in next
pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
File "D:\Python\lib\site-packages\backtrader\analyzers\positions.py", line 78, in <listcomp>
pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
File "D:\Python\lib\site-packages\backtrader\brokers\bbroker.py", line 422, in get_value
return self._get_value(datas=datas, lever=lever)
File "D:\Python\lib\site-packages\backtrader\brokers\bbroker.py", line 446, in _get_value
dvalue = comminfo.getvaluesize(position.size, data.close[0])
File "D:\Python\lib\site-packages\backtrader\linebuffer.py", line 163, in getitem
return self.array[self.idx + ago]
IndexError: array index out of range

Process finished with exit code 1

benmercerdev

Show us your datafeed code, make sure to use the three backticks ;)

Sam

data = pd.read_csv('Data/stock.csv', index_col=0, parse_dates=True)

b1 = bt.feeds.PandasData(dataname=data,timeframe=bt.TimeFrame.Minutes )

cerebro.adddata(b1)

cerebro.resampledata(b1, timeframe=bt.TimeFrame.Days, compression=1)

Thank you!

benmercerdev

Best copy and paste your full code, and use the ```, so it looks like this and makes it easier to read:

cerebro.adddata(b1)

Sam

@benmercerdev

class MyStrategy(bt.Strategy):
    pass

cerebro = bt.Cerebro()

data = pd.read_csv('Data/stock.csv', index_col=0, parse_dates=True)

b1 = bt.feeds.PandasData(dataname=data,timeframe=bt.TimeFrame.Minutes )

cerebro.adddata(b1)
cerebro.resampledata(b1,timeframe=bt.TimeFrame.Days )


cerebro.addstrategy(MyStrategy)
cerebro.addanalyzer(bt.analyzers.PyFolio)
cerebro.run()

cerebro.plot(style='candle')

Traceback (most recent call last):
File "E:/STOCK/test.py", line 52, in <module>
cerebro.run()
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "D:\Python\lib\site-packages\backtrader\cerebro.py", line 1630, in _runnext
strat._next()
File "D:\Python\lib\site-packages\backtrader\strategy.py", line 350, in _next
self._next_analyzers(minperstatus)
File "D:\Python\lib\site-packages\backtrader\strategy.py", line 388, in _next_analyzers
analyzer._prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 150, in _prenext
child._prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 152, in _prenext
self.prenext()
File "D:\Python\lib\site-packages\backtrader\analyzer.py", line 229, in prenext
self.next()
File "D:\Python\lib\site-packages\backtrader\analyzers\positions.py", line 78, in next
pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
File "D:\Python\lib\site-packages\backtrader\analyzers\positions.py", line 78, in <listcomp>
pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
File "D:\Python\lib\site-packages\backtrader\brokers\bbroker.py", line 422, in get_value
return self._get_value(datas=datas, lever=lever)
File "D:\Python\lib\site-packages\backtrader\brokers\bbroker.py", line 446, in _get_value
dvalue = comminfo.getvaluesize(position.size, data.close[0])
File "D:\Python\lib\site-packages\backtrader\linebuffer.py", line 163, in getitem
return self.array[self.idx + ago]
IndexError: array index out of range

Process finished with exit code 1

run-out

I don't believe Pyfolio is supported any more. article

ab_trader

Pyfolio works with trades, profits etc. You have empty strategy, than what do you want to track with pyfolio?