broker.get_value() return NaN after i add pyfolio analyzer

snippet

class StrategyTop(bt.Strategy):
    def notify_timer(self, timer, when, *args, **kwargs):
        self.broker.get_value()#always return NaN after add dd pyfolio analyzer, no problem for other analyzer.

cerebro = bt.Cerebro(stdstats=False)
cerebro.addstrategy(StrategyTop)

cerebro.adddata(data, name=INDEX)

cerebro.adddata(data, name=s)

startcash = 10000000
cerebro.broker.setcash(startcash)

cerebro.broker.set_checksubmit(False)
comminfo = stampDutyCommissionScheme(stamp_duty=0.001, commission=0.001)
cerebro.broker.addcommissioninfo(comminfo)
print(cerebro.broker.get_value()) #no problem here

#cerebro.addanalyzer(bt.analyzers.SharpeRatio, _name = 'SharpeRatio')
#cerebro.addanalyzer(bt.analyzers.DrawDown, _name='DW')
cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
print(cerebro.broker.get_value()) #no problem here

always return NaN(self.broker.get_value()) in strategy object after adding pyfolio analyzer.

any clues? your help will be much appreciated.

monil shah 0

Getting the same error for pyfolio. Please let me know if you get some help

vladisld

Tried to reproduce it locally using the above script (slightly modified to include the data initialization and cerebro.run method). The problem I see is in adding the same data feed object two times (with different name). This resulted in exception:

Traceback (most recent call last):
  File "C:/Users/Vlad/PycharmProjects/test/support_3195.py", line 36, in <module>
    cerebro.run()
  File "W:\backtrader\backtrader\cerebro.py", line 1177, in run
    runstrat = self.runstrategies(iterstrat)
  File "W:\backtrader\backtrader\cerebro.py", line 1346, in runstrategies
    self._runonce(runstrats)
  File "W:\backtrader\backtrader\cerebro.py", line 1744, in _runonce
    self._brokernotify()
  File "W:\backtrader\backtrader\cerebro.py", line 1413, in _brokernotify
    self._broker.next()
  File "W:\backtrader\backtrader\brokers\bbroker.py", line 1233, in next
    self._get_value()  # update value
  File "W:\backtrader\backtrader\brokers\bbroker.py", line 439, in _get_value
    dvalue = comminfo.getvaluesize(position.size, data.close[0])
  File "W:\backtrader\backtrader\linebuffer.py", line 163, in __getitem__
    return self.array[self.idx + ago]
IndexError: array index out of range

but not in Nan value returned from self.broker.get_value() method. Changing the code to use different data feeds, like:

data_path = os.path.join(bt.__file__, '../../datas/yhoo-1996-2014.txt')
data = bt.feeds.YahooFinanceCSVData(dataname=data_path)
data1 = bt.feeds.YahooFinanceCSVData(dataname=data_path)

cerebro.adddata(data, name="INDEX")
cerebro.adddata(data1, name="S")

couldn't repro the issue. Will appreciate if the author could provide the full script with the exact point of failure ( it is better to check for Nan value at that point and raise the exception - please include the backtrace in this case )