Error while running backtest



  • from __future__ import (absolute_import, division, print_function,
                            unicode_literals)
    
    import datetime  # For datetime objects
    import os.path  # To manage paths
    import sys  # To find out the script name (in argv[0])
    
    # Import the backtrader platform
    import backtrader as bt
    import backtrader.feeds as btfeeds
    
    
    # Create a Stratey
    class TestStrategy(bt.Strategy):
       # params = (
        #    ('maperiod', 15),
        #)
    
        def log(self, txt, dt=None):
            ''' Logging function fot this strategy'''
            dt = dt or self.datas[0].datetime.date(0)
            print('%s, %s' % (dt.isoformat(), txt))
    
        def __init__(self):
            # Keep a reference to the "close" line in the data[0] dataseries
            self.dataclose = self.datas[0].close
    
            # To keep track of pending orders and buy price/commission
            self.order = None
            self.buyprice = None
            self.buycomm = None
    
            # Add a MovingAverageSimple indicator
            self.sma = bt.indicators.SimpleMovingAverage(
                self.data, period=36)
    
            ''' 
           # Indicators for the plotting show
            bt.indicators.ExponentialMovingAverage(self.datas[0], period=25)
            bt.indicators.WeightedMovingAverage(self.datas[0], period=25,
                                                subplot=True)
            bt.indicators.StochasticSlow(self.datas[0])
            bt.indicators.MACDHisto(self.datas[0])
            rsi = bt.indicators.RSI(self.datas[0])
            bt.indicators.SmoothedMovingAverage(rsi, period=10)
            bt.indicators.ATR(self.datas[0], plot=False)
            '''
    
        def notify_order(self, order):
            if order.status in [order.Submitted, order.Accepted]:
                # Buy/Sell order submitted/accepted to/by broker - Nothing to do
                return
    
            # Check if an order has been completed
            # Attention: broker could reject order if not enougth cash
            if order.status in [order.Completed]:
                if order.isbuy():
                    self.log(
                        'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                        (order.executed.price,
                         order.executed.value,
                         order.executed.comm))
    
                    self.buyprice = order.executed.price
                    self.buycomm = order.executed.comm
                else:  # Sell
                    self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
                             (order.executed.price,
                              order.executed.value,
                              order.executed.comm))
    
                self.bar_executed = len(self)
    
            elif order.status in [order.Canceled, order.Margin, order.Rejected]:
                self.log('Order Canceled/Margin/Rejected')
    
            # Write down: no pending order
            self.order = None
    
        def notify_trade(self, trade):
            if not trade.isclosed:
                return
    
            self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                     (trade.pnl, trade.pnlcomm))
    
        def next(self):
            # Simply log the closing price of the series from the reference
            self.log('Close, %.2f' % self.dataclose[0])
    
            # Check if an order is pending ... if yes, we cannot send a 2nd one
            if self.order:
                return
    
            # Check if we are in the market
            if not self.position:
    
                # Not yet ... we MIGHT BUY if ...
                if self.dataclose[0] > self.sma[0]:
    
                    # BUY, BUY, BUY!!! (with all possible default parameters)
                    self.log('BUY CREATE, %.2f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.buy()
    
            else:
    
                if self.dataclose[0] < self.sma[0]:
                    # SELL, SELL, SELL!!! (with all possible default parameters)
                    self.log('SELL CREATE, %.2f' % self.dataclose[0])
    
                    # Keep track of the created order to avoid a 2nd order
                    self.order = self.sell()
    
    
    if __name__ == '__main__':
        # Create a cerebro entity
        cerebro = bt.Cerebro()
    
        # Add a strategy
        cerebro.addstrategy(TestStrategy)
    
        # Datas are in a subfolder of the samples. Need to find where the script is
        # because it could have been called from anywhere
        modpath = os.path.dirname(os.path.abspath(sys.argv[0]))
        datapath = os.path.join(modpath, 'data/msft dt.csv')
        
        data = btfeeds.YahooFinanceCSVData(
                
                
                dataname=datapath,
                reversed=True,
                fromdate=datetime.datetime(2016, 4, 1),
                todate=datetime.datetime(2016, 12, 30),
                timeframe=bt.TimeFrame.Days,
                compression=1,
                name='msft'
                )
    
      
        
    
        # Add the Data Feed to Cerebro
        cerebro.adddata(data)
    
        # Set our desired cash start
        cerebro.broker.setcash(1000.0)
    
        # Add a FixedSize sizer according to the stake
        cerebro.addsizer(bt.sizers.FixedSize, stake=10)
    
        # Set the commission
        cerebro.broker.setcommission(commission=0.0)
    
        # Print out the starting conditions
        print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
    
        # Run over everything
        cerebro.run()
    
        # Print out the final result
        print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
    
        # Plot the result
        #cerebro.plot()
    
    

    Getting this error msg:

    dst[i] = math.fsum(src[i - period + 1:i + 1]) / period
    
    IndexError: array assignment index out of range
    

    Please help!


  • administrators

    @mahbubk9 said in Error while running backtest:

    dst[i] = math.fsum(src[i - period + 1:i + 1]) / period

    That shows that not enough data was available for the calculation of the moving average.

    An educated guess is that you are running a version which no longer can download data from Yahoo (See. Community - AttributeError: 'NoneType' object has no attribute 'close')

    You can also:

    • Use cerebro.run(runonce=False) to run in step by step mode. This avoids the batch calculation.
    • Print data values (for example close) from prenext in the strategy (before all indicators can be calculated). If the assumption from above is true, you won't have any data.

    Trying the same data source with a clean script which is only aimed at printing data (with no indicators) will probably clear most doubts about the suspicions from above.



  • Thanks,
    I tried running the same script with commenting out indicator line, works fine, no error code.
    Also, having same issue with my saved data in hard drive and data loading using btfeeds.GenericCSVData, some thing wrong with indicators?


  • administrators

    Without knowing (because there is no output) which data (and how much) is being loaded, there is no way to assess what may be going wrong. The error clearly shows that not enough data was loaded for a moving average of period 36. How much data you actually managed to load can only be checked by yourself.



  • Hi,
    Could you please elaborate, how to print data values from prenext in the strategy.
    Thanks


  • administrators

    The same way as you do it in next. It's simply called before the minimum period calculated for the indicators is met.


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