ZeroDivisionError: float division by zero

[Jun Luo]

I encountered a very strange problem.

I've tried different start to end date, it's Ok for 1 day and up to 9 days of 1 minutes data. then it gave me this error message when I went above 9 days of 1 minutes data.

I appreciate any help to id the cause of the problem.
I apologize for the bad formatting of the code. I don't know how to get it done right.

Here is the message:

Traceback (most recent call last):
File "/home/jun/codes/btc_trade.py", line 211, in <module>
end_val, totalwin, totalloss, pnl_net, sqn=runbacktest(datapath,start,end,period,strategy,limits[0],limits[1],0.002,1000000,1,0.01,-0.01,False)
File "/home/jun/codes/btc_trade.py", line 181, in runbacktest
strat = cerebro.run()
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
self._runonce(runstrats)
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/cerebro.py", line 1652, in _runonce
strat._once()
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/lineiterator.py", line 297, in _once
indicator._once()
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/lineiterator.py", line 297, in _once
indicator._once()
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 631, in _once
self.once(self._minperiod, self.buflen())
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 755, in once
self._once_op(start, end)
File "/home/jun/codes/vpy/lib/python3.10/site-packages/backtrader/linebuffer.py", line 772, in _once_op
dst[i] = op(srca[i], srcb[i])
ZeroDivisionError: float division by zero

The whole code is here:
from future import (absolute_import, division, print_function,
unicode_literals)

import datetime # For datetime objects
import backtrader as bt # Import the backtrader platfor

class RSIStrategy(bt.Strategy):

params = (
    ('verbose', False),
    ('maperiod', None),
    ('quantity', None),
    ('upper', 70),         # upper threshold
    ('lower', 30),         # lower threshold
    ('stopLoss', 0.00)          # stop loss %
)


def __init__(self):

    self.dataclose = self.datas[0].close
    self.order = None
    self.order_stopLoss = None
    self.buyprice = None
    self.buycomm = None
    self.amount = None

    # Add a MovingAverageSimple indicator
    self.rsi = bt.indicators.RSI_SMA(self.datas[0], period=self.params.maperiod)


def notify_order(self, order):
    if order.status in [order.Submitted, order.Accepted]:
        # Buy/Sell order submitted/accepted to/by broker
        return

    # Check if an order has been completed
    # Attention: broker could reject order if not enough cash
    if order.status in [order.Completed]:
        if order.isbuy():
            self.buyprice = order.executed.price
            self.buycomm = order.executed.comm

            if self.params.verbose:
                print('BOUGHT @price: {:.2f} {}'.format(order.executed.price, bt.num2date(order.executed.dt)))
            if self.params.stopLoss:
                if self.params.stopLoss > 0:
                    stop_price = order.executed.price * (1 - self.params.stopLoss)
                    self.order_stopLoss = self.sell(exectype=bt.Order.Stop, price=stop_price)
                    if self.params.verbose:
                        print('  STOP @price: {:.2f}'.format(stop_price))
                else:
                    # trailing stop specified % under executed price
                    self.order_stopLoss = self.sell(exectype=bt.Order.StopTrail, trailpercent=0-self.params.stopLoss)
                    self.order_stopLoss.addinfo(ordername="STOPLONG")
                    if self.params.verbose:
                        print('  STOP TRAILING')

        else:
            if not self.position:  # we left the market
                self.broker.cancel(self.order_stopLoss)
                self.order_stopLoss = None
                if self.params.verbose:
                    print('SOLD @price: {:.2f} cost: {:.2f} comm: {:.2f} {}'.format(order.executed.price, order.executed.value, order.executed.comm, bt.num2date(order.executed.dt)))

    self.order = None


def notify_trade(self, trade):
    if not trade.isclosed:
        return

    if self.params.verbose:
        print('PROFIT, GROSS %.2f, NET %.2f' % (trade.pnl, trade.pnlcomm))
        print('_______________________________________________')



def next(self):

    # 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.rsi < self.params.lower:

            # Keep track of the created order to avoid a 2nd order
            self.amount = (self.broker.getvalue() * self.params.quantity) / self.dataclose[0]
            self.order = self.buy()

    else:
        # Already in the market ... we might sell
        if self.rsi > self.params.upper:

            # Keep track of the created order to avoid a 2nd order
            self.order = self.sell()

______________________ End Strategy Classes

def timeFrame(datapath):
"""
Select the write compression and timeframe.
"""

sepdatapath = datapath[:-4].split(sep='-') # ignore name file 'data/' and '.csv'
tf = sepdatapath[3]

if tf == '1m':
    compression = 1
    timeframe = bt.TimeFrame.Minutes
else:
    print('dataframe not recognized')
    exit()

return compression, timeframe

def getWinLoss(analyzer):
return analyzer.won.total, analyzer.lost.total, analyzer.pnl.net.total

def getSQN(analyzer):
return round(analyzer.sqn,2)

def runbacktest(datapath, start, end, period, strategy,
upper=70, lower=30, commission_val=None, portofolio=10000.0, stake_val=1, quantity=0.01, stopLoss=0.0, plt=False):

# Create a cerebro entity
cerebro = bt.Cerebro()

# Add a FixedSize sizer according to the stake
cerebro.addsizer(bt.sizers.FixedSize, stake=stake_val) # Multiply the stake by X

cerebro.broker.setcash(portofolio)

if commission_val:
    cerebro.broker.setcommission(commission=commission_val/100)

# Add a strategy
if strategy == 'SMA':
    cerebro.addstrategy(SMAStrategy, maperiod=period, quantity=quantity, stopLoss=stopLoss, upper=upper, lower=lower)
elif strategy == 'RSI':
    cerebro.addstrategy(RSIStrategy, maperiod=period, quantity=quantity, stopLoss=stopLoss, upper=upper, lower=lower)
else :
    print('no strategy')
    exit()

compression, timeframe = timeFrame(datapath)

# Create a Data Feed
data = bt.feeds.GenericCSVData(
    dataname = datapath,
    dtformat = 2, 
    compression = compression, 
    timeframe = timeframe,
    fromdate = datetime.datetime.strptime(start, '%Y-%m-%d'),
    todate = datetime.datetime.strptime(end, '%Y-%m-%d'),
    reverse = False)


# Add the Data Feed to Cerebro
cerebro.adddata(data)


cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name="ta")
cerebro.addanalyzer(bt.analyzers.SQN, _name="sqn")


if True:
    strat = cerebro.run()
    stratexe = strat[0]

    try:
        totalwin, totalloss, pnl_net = getWinLoss(stratexe.analyzers.ta.get_analysis())
    except KeyError:
        totalwin, totalloss, pnl_net = 0, 0, 0

    sqn = getSQN(stratexe.analyzers.sqn.get_analysis())

    if plt:
        cerebro.plot()

    return cerebro.broker.getvalue(), totalwin, totalloss, pnl_net, sqn

if name=='main':
datapath='BTCUSDT-20210101-20220102-1m.csv'
start_portfolio = 100000.0
sep = ' ' # ignore name file 'data/' and '.csv'
xchange = 'BTCUSDT'
start = '2021-01-01'
end = '2021-01-09'
strategy = 'RSI'
period = 12
stopLoss = 0
limits = [70,30]
end_val, totalwin, totalloss, pnl_net, sqn=runbacktest(datapath,start,end,period,strategy,limits[0],limits[1],0.002,1000000,1,0.01,-0.01,False)
print('%s, %s (Pd %d) (SL %.1f%%) (U%d L%d) Net $%.2f (%.2f%%) WL %d/%d SQN %.2f' % (datapath[5:], strategy, period, stopLoss100, limits[0], limits[1],
end_val - start_portfolio, (end_val - start_portfolio)/start_portfolio100, totalwin, totalloss, sqn))

[Jun Luo]

never mind, I figured out myself. set safediv to True for RSI.