Run A classic Simple Moving Average Crossover strategy Happen OverflowError

Xu Liu

While running the backtrader document "Hello Algotrading!" example, I try to use my own data, and the following error occurred。

Traceback (most recent call last):
  File "/Users/liuxuyang/PycharmProjects/pythonProject/MyTest.py", line 79, in <module>
    results = cerebro.run()
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/cerebro.py", line 1652, in _runonce
    strat._once()
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/lineiterator.py", line 318, in _once
    self.once(self._minperiod, self.buflen())
  File "/Users/liuxuyang/PycharmProjects/pythonProject/ven/lib/python3.7/site-packages/backtrader/indicators/basicops.py", line 364, in once
    dst[i] = math.fsum(src[i - period + 1:i + 1]) / period
OverflowError: intermediate overflow in fsum

run-out

Could you provide the code you used and and example of your date please?

Xu Liu

@run-out

from datetime import datetime
import backtrader as bt


# Create a subclass of Strategy to define the indicators and logic

class SmaCross(bt.Strategy):
    # list of parameters which are configurable for the strategy
    params = dict(
        pfast=10,  # period for the fast moving average
        pslow=30  # period for the slow moving average
    )

    def __init__(self):
        sma1 = bt.ind.SMA(period=self.p.pfast)  # fast moving average
        sma2 = bt.ind.SMA(period=self.p.pslow)  # slow moving average
        self.crossover = bt.ind.CrossOver(sma1, sma2)  # crossover signal

    def next(self):
        if not self.position:  # not in the market
            if self.crossover > 0:  # if fast crosses slow to the upside
                self.buy()  # enter long

        elif self.crossover < 0:  # in the market & cross to the downside
            self.close()  # close long position


def getData():
    data = bt.feeds.GenericCSVData(
        dataname="/Users/liuxuyang/Desktop/btc_usd_1h_new.csv",
        dtformat='%Y-%m-%d %H:%M:%S',
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        fromdate=datetime(2017, 1, 1),
        todate=datetime(2020, 11, 4)

    )
    return data


cerebro = bt.Cerebro()  # create a "Cerebro" engine instance

cerebro.adddata(getData())  # Add the data feed

cerebro.addstrategy(SmaCross)  # Add the trading strategy
cerebro.run()  # run it all
cerebro.plot()  # and plot it with a single command

csv file linkl https://drive.google.com/file/d/15mtQP3wSVuG5OCUtasAjEMy-nWvBF1tx/view?usp=sharing

rajanprabu

There is no need for getData() function. Just add data to the cerebro.

data = bt.feeds.GenericCSVData(
        dataname="/Users/liuxuyang/Desktop/btc_usd_1h_new.csv",
        dtformat='%Y-%m-%d %H:%M:%S',
        open=1,
        high=2,
        low=3,
        close=4,
        volume=5,
        fromdate=datetime(2017, 1, 1),
        todate=datetime(2020, 11, 4)

    )


cerebro.adddata(data)

Xu Liu

@rajanprabu It's still going to go wrong，I don’t know if it’s because of too much data

rajanprabu

I suggest you to check the data. Have you tried running for shorter time say for 1 year ?

fromdate=datetime(2017, 1, 1),
todate=datetime(2017, 12, 31)

Xu Liu

Oh, I found the problem-- it is the data issue, several lines of data around 2020/04/26 are missing. I removed these lines so the whole thing went through.