Backtrader giving IndexError: array assignment index out of range

[Liveo13]

I am using the following strategy:

def max_n(array, n):
    return np.argpartition(array, -n)[-n:]

class CrossSectionalMR(bt.Strategy):
    params = (
        ('num_positions', 100),
    )
    def __init__(self, temp):
        self.inds = {}
        for d in self.datas:
            self.inds[d] = {}
            self.inds[d]["pct"] = bt.indicators.PercentChange(d.close, period=1)

    def prenext(self):
        self.next()
    
    def next(self):
        available = list(filter(lambda d: len(d), self.datas)) # only look at data that existed yesterday
        rets = np.zeros(len(available))
        for i, d in enumerate(available):
            rets[i] = self.inds[d]['pct'][0]

        market_ret = np.mean(rets)
        weights = -(rets - market_ret)
        max_weights_index = max_n(np.abs(weights), self.params.num_positions)
        max_weights = weights[max_weights_index]
        weights = weights / np.sum(np.abs(max_weights))

        for i, d in enumerate(available):
            if i in max_weights_index:
                self.order_target_percent(d, target=weights[i])
            else:
                self.order_target_percent(d, 0)

and I get the following error:

Traceback (most recent call last):
  File "/home/poblivsig/Software/pycharm-2020.3.1/plugins/python/helpers/pydev/pydevd.py", line 1477, in _exec
    pydev_imports.execfile(file, globals, locals)  # execute the script
  File "/home/poblivsig/Software/pycharm-2020.3.1/plugins/python/helpers/pydev/_pydev_imps/_pydev_execfile.py", line 18, in execfile
    exec(compile(contents+"\n", file, 'exec'), glob, loc)
  File "/home/poblivsig/Dropbox/meanrev/main.py", line 190, in <module>
    dd, cagr, sharpe = backtest(datas, CrossSectionalMR, plot=True, num_positions=100)
  File "/home/poblivsig/Dropbox/meanrev/main.py", line 181, in backtest
    results = cerebro.run()
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
    self._runonce(runstrats)
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1652, in _runonce
    strat._once()
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineiterator.py", line 297, in _once
    indicator._once()
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/linebuffer.py", line 630, in _once
    self.oncestart(self._minperiod - 1, self._minperiod)
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineroot.py", line 165, in oncestart
    self.once(start, end)
  File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/linebuffer.py", line 672, in once
    dst[i] = src[i + ago]
IndexError: array assignment index out of range
python-BaseExceptio                                                                      

Any ideas what I am doing wrong?

[vladisld]

I could probably be wrong of cause but your code here:

rets[i] = self.inds[d]['pct'][0]

tries to access the 'pct' indicator when it could probably has no values yet. This may happen because despite the correctly defined period, you are still forcing the next call to your strategy from the prenext.

Normally the next will only be called if all the data lines have values (including indicators).

Please correct me if I'm wrong.

[Liveo13]

vladisld,

Thanks very much. I will have a look at that later and let you know.

Cheers,

Paul