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Pyfolio sample error
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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 PyFoliofrom __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 typeDid anyone meet the same problem? I really appreciate if anyone can solve it. Thanks in advance!