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    Pyfolio sample error

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    • R
      Rainchester last edited by

      I am trying to realize the Pyfolio sample of https://www.backtrader.com/docu/analyzers/pyfolio-integration/pyfolio-integration/
      The only thing I changed is the data feed. But the error seems from the PyFolio

      from __future__ import (absolute_import, division, print_function,
                              unicode_literals)
      
      
      import argparse
      import datetime
      import random
      import pandas_datareader as pdr
      import backtrader as bt
      
      
      class St(bt.Strategy):
          params = (
              ('printout', False),
              ('stake', 1000),
          )
      
          def __init__(self):
              pass
      
          def start(self):
              if self.p.printout:
                  txtfields = list()
                  txtfields.append('Len')
                  txtfields.append('Datetime')
                  txtfields.append('Open')
                  txtfields.append('High')
                  txtfields.append('Low')
                  txtfields.append('Close')
                  txtfields.append('Volume')
                  txtfields.append('OpenInterest')
                  print(','.join(txtfields))
      
          def next(self):
              if self.p.printout:
                  # Print only 1st data ... is just a check that things are running
                  txtfields = list()
                  txtfields.append('%04d' % len(self))
                  txtfields.append(self.data.datetime.datetime(0).isoformat())
                  txtfields.append('%.2f' % self.data0.open[0])
                  txtfields.append('%.2f' % self.data0.high[0])
                  txtfields.append('%.2f' % self.data0.low[0])
                  txtfields.append('%.2f' % self.data0.close[0])
                  txtfields.append('%.2f' % self.data0.volume[0])
                  txtfields.append('%.2f' % self.data0.openinterest[0])
                  print(','.join(txtfields))
      
              # Data 0
              for data in self.datas:
                  toss = random.randint(1, 10)
                  curpos = self.getposition(data)
                  if curpos.size:
                      if toss > 5:
                          size = curpos.size // 2
                          self.sell(data=data, size=size)
                          if self.p.printout:
                              print('SELL {} @%{}'.format(size, data.close[0]))
      
                  elif toss < 5:
                      self.buy(data=data, size=self.p.stake)
                      if self.p.printout:
                          print('BUY  {} @%{}'.format(self.p.stake, data.close[0]))
      
      
      def runstrat(args=None):
          args = parse_args(args)
      
          cerebro = bt.Cerebro()
          cerebro.broker.set_cash(args.cash)
      
          dkwargs = dict()
          if args.fromdate:
              fromdate = datetime.datetime.strptime(args.fromdate, '%Y-%m-%d')
              dkwargs['fromdate'] = fromdate
      
          if args.todate:
              todate = datetime.datetime.strptime(args.todate, '%Y-%m-%d')
              dkwargs['todate'] = todate
          
      
          df0 = pdr.get_data_yahoo('AAPL')
          df1 = pdr.get_data_yahoo('GOOG')
          df2 = pdr.get_data_yahoo('TSLA')
          
          start_date = datetime.datetime(2016, 4, 18)
          end_date = datetime.datetime(2021, 4, 15)
          
          data0 = bt.feeds.PandasData(dataname=df0,
                                          timeframe = bt.TimeFrame.Minutes,
                                          fromdate=start_date,
                                          todate=end_date)
          data1 = bt.feeds.PandasData(dataname=df1,                              
                                      timeframe = bt.TimeFrame.Minutes,
                                      fromdate=start_date,
                                      todate=end_date) 
          
          data2 = bt.feeds.PandasData(dataname=df2,                              
                                  timeframe = bt.TimeFrame.Minutes,
                                  fromdate=start_date,
                                  todate=end_date) 
      
          # data0 = bt.feeds.BacktraderCSVData(dataname=args.data0, **dkwargs)
          # data0 = bt.feeds.BacktraderCSVData(dataname=df0, **dkwargs)
          cerebro.adddata(data0, name='Data0')
      
          # # data1 = bt.feeds.BacktraderCSVData(dataname=args.data1, **dkwargs)
          # data1 = bt.feeds.BacktraderCSVData(dataname=df1, **dkwargs)
          cerebro.adddata(data1, name='Data1')
      
          # # data2 = bt.feeds.BacktraderCSVData(dataname=args.data2, **dkwargs)
          # data2 = bt.feeds.BacktraderCSVData(dataname=df2, **dkwargs)
          cerebro.adddata(data2, name='Data2')
      
          cerebro.addstrategy(St, printout=args.printout)
          if not args.no_pyfolio:
              cerebro.addanalyzer(bt.analyzers.PyFolio, _name='pyfolio')
      
          results = cerebro.run()
          if not args.no_pyfolio:
              strat = results[0]
              pyfoliozer = strat.analyzers.getbyname('pyfolio')
      
              returns, positions, transactions, gross_lev = pyfoliozer.get_pf_items()
              if args.printout:
                  print('-- RETURNS')
                  print(returns)
                  print('-- POSITIONS')
                  print(positions)
                  print('-- TRANSACTIONS')
                  print(transactions)
                  print('-- GROSS LEVERAGE')
                  print(gross_lev)
      
              import pyfolio as pf
              pf.create_full_tear_sheet(
                  returns,
                  positions=positions,
                  transactions=transactions,
                  gross_lev=gross_lev,
                  live_start_date='2005-05-01',
                  round_trips=True)
      
          if args.plot:
              cerebro.plot(style=args.plot_style)
      
      
      def parse_args(args=None):
      
          parser = argparse.ArgumentParser(
              formatter_class=argparse.ArgumentDefaultsHelpFormatter,
              description='Sample for pivot point and cross plotting')
      
          parser.add_argument('--data0', required=False,
                              default='../../datas/yhoo-1996-2015.txt',
                              help='Data to be read in')
      
          parser.add_argument('--data1', required=False,
                              default='../../datas/orcl-1995-2014.txt',
                              help='Data to be read in')
      
          parser.add_argument('--data2', required=False,
                              default='../../datas/nvda-1999-2014.txt',
                              help='Data to be read in')
      
          parser.add_argument('--fromdate', required=False,
                              default='2017-01-01',
                              help='Starting date in YYYY-MM-DD format')
      
          parser.add_argument('--todate', required=False,
                              default='2020-12-31',
                              help='Ending date in YYYY-MM-DD format')
      
          parser.add_argument('--printout', required=False, action='store_true',
                              help=('Print data lines'))
      
          parser.add_argument('--cash', required=False, action='store',
                              type=float, default=50000,
                              help=('Cash to start with'))
      
          parser.add_argument('--plot', required=False, action='store_true',
                              help=('Plot the result'))
      
          parser.add_argument('--plot-style', required=False, action='store',
                              default='bar', choices=['bar', 'candle', 'line'],
                              help=('Plot style'))
      
          parser.add_argument('--no-pyfolio', required=False, action='store_true',
                              help=('Do not do pyfolio things'))
      
          import sys
          aargs = args if args is not None else sys.argv[1:]
          return parser.parse_args(aargs)
      
      runstrat([])
      

      However, it showed the error as following:

      runfile('D:/Python Projects/BackTrader/Pyfolio_test.py', wdir='D:/Python Projects/BackTrader')
      Traceback (most recent call last):
      
        File "D:\Python Projects\BackTrader\Pyfolio_test.py", line 432, in <module>
          runstrat([])
      
        File "D:\Python Projects\BackTrader\Pyfolio_test.py", line 356, in runstrat
          results = cerebro.run()
      
        File "D:\Anaconda\Python\lib\site-packages\backtrader\cerebro.py", line 1128, in run
          runstrat = self.runstrategies(iterstrat)
      
        File "D:\Anaconda\Python\lib\site-packages\backtrader\cerebro.py", line 1302, in runstrategies
          strat._stop()
      
        File "D:\Anaconda\Python\lib\site-packages\backtrader\strategy.py", line 486, in _stop
          analyzer._stop()
      
        File "D:\Anaconda\Python\lib\site-packages\backtrader\analyzer.py", line 200, in _stop
          self.stop()
      
        File "D:\Anaconda\Python\lib\site-packages\backtrader\analyzers\pyfolio.py", line 96, in stop
          super(PyFolio, self).stop()
      
      TypeError: super(type, obj): obj must be an instance or subtype of type
      

      Did anyone meet the same problem? I really appreciate if anyone can solve it. Thanks in advance!

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