How to solve this analyzers problem?

[Matheus Pires]

Hello Guys,

I was trying to figure out what's gone wrong when I tried to make this kind of resample:

# Create a Data Feed
data = btfeeds.BacktraderCSVData(dataname=datapath, timeframe = bt.TimeFrame.Days)

# Add the Data Feed to Cerebro
cerebro.adddata(data)

cerebro.resampledata(data,timeframe = bt.TimeFrame.Weeks, compression = 1)    

And added this analyzer:

cerebro.addanalyzer(bt.analyzers.PositionsValue, _name = 'Positions')

But got this kind of error (Array index out of range).

IndexError                                Traceback (most recent call last)
<ipython-input-6-cfa4078d6642> in <module>
     30 
     31 # Run over everything
---> 32 strats = cerebro.run(runonce = False)
     33 
     34 # Print out the final result

/usr/local/lib/python3.7/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:

/usr/local/lib/python3.7/site-packages/backtrader/cerebro.py in runstrategies(self, iterstrat, predata)
   1296                     self._runnext_old(runstrats)
   1297                 else:
-> 1298                     self._runnext(runstrats)
   1299 
   1300             for strat in runstrats:

/usr/local/lib/python3.7/site-packages/backtrader/cerebro.py in _runnext(self, runstrats)
   1628                 self._check_timers(runstrats, dt0, cheat=False)
   1629                 for strat in runstrats:
-> 1630                     strat._next()
   1631                     if self._event_stop:  # stop if requested
   1632                         return

/usr/local/lib/python3.7/site-packages/backtrader/strategy.py in _next(self)
    348 
    349         minperstatus = self._getminperstatus()
--> 350         self._next_analyzers(minperstatus)
    351         self._next_observers(minperstatus)
    352 

/usr/local/lib/python3.7/site-packages/backtrader/strategy.py in _next_analyzers(self, minperstatus, once)
    386                 analyzer._nextstart()  # only called for the 1st value
    387             else:
--> 388                 analyzer._prenext()
    389 
    390     def _settz(self, tz):

/usr/local/lib/python3.7/site-packages/backtrader/analyzer.py in _prenext(self)
    150             child._prenext()
    151 
--> 152         self.prenext()
    153 
    154     def _notify_cashvalue(self, cash, value):

/usr/local/lib/python3.7/site-packages/backtrader/analyzer.py in prenext(self)
    227         The default behavior for an analyzer is to invoke ``next``
    228         '''
--> 229         self.next()
    230 
    231     def nextstart(self):

/usr/local/lib/python3.7/site-packages/backtrader/analyzers/positions.py in next(self)
     76 
     77     def next(self):
---> 78         pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
     79         if self.p.cash:
     80             pvals.append(self.strategy.broker.get_cash())

/usr/local/lib/python3.7/site-packages/backtrader/analyzers/positions.py in <listcomp>(.0)
     76 
     77     def next(self):
---> 78         pvals = [self.strategy.broker.get_value([d]) for d in self.datas]
     79         if self.p.cash:
     80             pvals.append(self.strategy.broker.get_cash())

/usr/local/lib/python3.7/site-packages/backtrader/brokers/bbroker.py in get_value(self, datas, mkt, lever)
    420             return self._value if not lever else self._valuelever
    421 
--> 422         return self._get_value(datas=datas, lever=lever)
    423 
    424     getvalue = get_value

/usr/local/lib/python3.7/site-packages/backtrader/brokers/bbroker.py in _get_value(self, datas, lever)
    444                 dvalue = comminfo.getvalue(position, data.close[0])
    445             else:
--> 446                 dvalue = comminfo.getvaluesize(position.size, data.close[0])
    447 
    448             dunrealized = comminfo.profitandloss(position.size, position.price,

/usr/local/lib/python3.7/site-packages/backtrader/linebuffer.py in __getitem__(self, ago)
    161 
    162     def __getitem__(self, ago):
--> 163         return self.array[self.idx + ago]
    164 
    165     def get(self, ago=0, size=1):

IndexError: array index out of range

Does anyone have any idea of what's going on??

Thanks

[Matheus Pires]

Since giving the whole code may be useful for debugging, here below you can find it... I'm using a sample dataframe I got from "datas" folder...

Strategy (the same you've seen from quickstart guide)

# Create a Stratey
class TestStrategy(bt.Strategy):

    def log(self, txt, dt=None):
        ''' Logging function fot this strategy'''
        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

        # To keep track of pending orders
        self.order = None

    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, %.2f' % order.executed.price)
            elif order.issell():
                self.log('SELL EXECUTED, %.2f' % order.executed.price)

            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 next(self):
        # Simply log the closing price of the series from the reference
        self.log('Close, %.2f' % self.dataclose[0])

        # Check if an order is pending ... if yes, we cannot send a 2nd one
        if self.order:
            return

        # Check if we are in the market
        if not self.position:

            # Not yet ... we MIGHT BUY if ...
            if self.dataclose[0] < self.dataclose[-1]:
                    # current close less than previous close

                    if self.dataclose[-1] < self.dataclose[-2]:
                        # previous close less than the previous close

                        # BUY, BUY, BUY!!! (with default parameters)
                        self.log('BUY CREATE, %.2f' % self.dataclose[0])

                        # Keep track of the created order to avoid a 2nd order
                        self.order = self.buy()

        else:

            # Already in the market ... we might sell
            if len(self) >= (self.bar_executed + 5):
                # SELL, SELL, SELL!!! (with all possible default parameters)
                self.log('SELL CREATE, %.2f' % self.dataclose[0])

                # Keep track of the created order to avoid a 2nd order
                self.order = self.sell()

# Create a cerebro entity
cerebro = bt.Cerebro(stdstats = False)

# Add a strategy
cerebro.addstrategy(TestStrategy)

# Datas are in a subfolder of the samples.

datapath = 'datas/2006-day-001.txt'

# Create a Data Feed
data = btfeeds.BacktraderCSVData(dataname=datapath, timeframe = bt.TimeFrame.Days)

# Add the Data Feed to Cerebro
cerebro.adddata(data)

cerebro.resampledata(data,timeframe = bt.TimeFrame.Weeks, compression = 1)    

## Resample data

cerebro.addanalyzer(bt.analyzers.PositionsValue, _name = 'Positions') ##If one comments this line, the code works 

cerebro.addobserver(bt.observers.DrawDown,plot=True)

# Set our desired cash start
cerebro.broker.setcash(100000.0)

# Print out the starting conditions
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())

# Run over everything
strats = cerebro.run(runonce = False)

# Print out the final result
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())

# Plot the result
cerebro.plot(style = 'candlestick', volume = False)

Thanks in advance!

[Frank L]

Matheus Pires ,
I got the same problem , besides bt.analyzers.PositionsValue , bt.analyzers.PyFolio have the same issue.
regards

[hghhgghdf dfdf]

@Matheus-Pires @Frank-L Use this:

class adjPositionsValue(bt.analyzers.PositionsValue):
    def prenext(self):
        pvals = [0 for d in self.datas]

        if self.p.cash:
            pvals.append(self.strategy.broker.get_cash())

        if self._usedate:
            self.rets[self.strategy.datetime.date()] = pvals
        else:
            self.rets[self.strategy.datetime.datetime()] = pvals