Error while running backtest

mahbubk9

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!

backtrader

@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.

mahbubk9

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?

backtrader

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.

mahbubk9

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

backtrader

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