Error while running backtest
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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!
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@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
) fromprenext
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.
- Use
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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? -
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.
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Hi,
Could you please elaborate, how to print data values from prenext in the strategy.
Thanks -
The same way as you do it in
next
. It's simply called before the minimum period calculated for the indicators is met.