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AttributeError: 'ItemCollection' object has no attribute 'sharpe_ratio'
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Following the example from Backtrader for Backtesting (Python) – A Complete Guide, I've had an error which I can't resolve in the following line:
sharpe = strategy.analyzers.sharpe_ratio.get_analysis()
That's line 119 from the following code:
from __future__ import (absolute_import, division, print_function, unicode_literals) import datetime import os.path import sys import math import backtrader as bt STARTING_CASH = 1700 class maxRiskSizer(bt.Sizer): params = (('risk', 0.95),) def __init__(self): if self.p.risk > 1 or self.p.risk < 0: raise ValueError('The risk parameter is a percentage which must be' 'entered as a float. e.g. 0.5') def _getsizing(self, comminfo, cash, data, isbuy): position = self.broker.getposition(data) if not position: size = comminfo.getsize(data.close[0], cash * self.p.risk) else: size = position.size return size class DegiroCommission(bt.CommInfoBase): params = (('per_share', 0.004), ('flat', 0.5),) def _getcommission(self, size, price, pseudoexec): return self.p.flat + size * self.p.per_share class SMAcrossover(bt.Strategy): params = (('fast', 20), ('slow', 50),) def log(self, txt, dt=None): dt = dt or self.datas[0].datetime.date(0) #print(f'{dt.isoformat()} {txt}') # Comment this line when running optimization def __init__(self): self.dataclose = self.datas[0].close self.order = None fast_sma, slow_sma = bt.ind.SMA(period=self.p.fast), bt.ind.SMA(period=self.p.slow) self.crossover = bt.indicators.CrossOver(fast_sma, slow_sma) #self.signal_add(bt.SIGNAL_LONGSHORT, bt.ind.CrossOver(sma1, sma2)) def notify_trade(self, trade): if not trade.isclosed: return self.log(f'GROSS {trade.pnl:.2f}, NET {trade.pnlcomm:.2f}') def notify_order(self, order): if order.status in [order.Submitted, order.Accepted]: # An active Buy/Sell order has been submitted/accepted - 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(f'BUY EXECUTED, {order.executed.price:.2f}') elif order.issell(): self.log(f'SELL EXECUTED, {order.executed.price:.2f}') self.bar_executed = len(self) elif order.status in [order.Canceled, order.Margin, order.Rejected]: self.log('Order Canceled/Margin/Rejected') # Reset orders self.order = None def next(self): # Check for open orders if self.order: return if self.crossover > 0: self.log(f'BUY CREATE {self.dataclose[0]:.2f}') self.order = self.buy() elif self.crossover < 0: self.log(f'SELL CREATE {self.dataclose[0]:.2f}') self.order = self.sell() if __name__ == '__main__': cerebro = bt.Cerebro(optreturn=False) cerebro.optstrategy(SMAcrossover, fast=range(5,7), slow=range(50,52)) #cerebro.optstrategy(SMAcrossover, fast=range(5,55,5), slow=range(60,310,10)) cerebro.broker.set_cash(STARTING_CASH) cerebro.broker.set_coc(True) modpath = os.path.dirname(os.path.abspath(sys.argv[0])) datapath = os.path.join(modpath, 'datas/CPE.csv') data = bt.feeds.YahooFinanceCSVData( dataname=datapath, # Do not pass values before this date fromdate=datetime.datetime(1990, 10, 1), # Do not pass values after this date todate=datetime.datetime(2020, 10, 15), reverse=False ) cerebro.adddata(data) cerebro.addsizer(maxRiskSizer) comminfo = DegiroCommission() cerebro.broker.addcommissioninfo(comminfo) optimized_runs = cerebro.run() final_results_list = [] for run in optimized_runs: for strategy in run: PnL = round(strategy.broker.get_value() - STARTING_CASH,2) sharpe = strategy.analyzers.sharpe_ratio.get_analysis() final_results_list.append([strategy.params.fast, strategy.params.slow, PnL, sharpe['sharperatio']]) sort_by_sharpe = sorted(final_results_list, key=lambda x: x[3], reverse=True) for line in sort_by_sharpe[:5]: print(line)
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your code is missing adding the actual analyzer (it appears in the original article):
cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name='sharpe_ratio')