Problem with analyzers of optstrategy

[kawaseiryuu]

Hi!
I meet some errors when I try to add analyzers to optstrategy. I test several analyzers such as SharpeRatio, Returns, and Pyfolio, only Returns can get a correct output while SharpeRatio and Pyfolio show errors as below. If I change to addstrategy, they all go well.

Exception in thread Thread-3:
Traceback (most recent call last):
  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/threading.py", line 916, in _bootstrap_inner
    self.run()
  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/threading.py", line 864, in run
    self._target(*self._args, **self._kwargs)
  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/multiprocessing/pool.py", line 463, in _handle_results
    task = get()
  File "/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/multiprocessing/connection.py", line 251, in recv
    return _ForkingPickler.loads(buf.getbuffer())
AttributeError: Can't get attribute 'Lines_LineSeries_LineIterator_DataAccessor_ObserverBase_Observer_DataTrades_fa4c53589de546008b442399c00e4727' on <module 'backtrader.lineseries' from '/Library/Frameworks/Python.framework/Versions/3.6/lib/python3.6/site-packages/backtrader/lineseries.py'>

The code:

def runstrat():
    args = parse_args()

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

    # Handy dictionary for the argument timeframe conversion
    tframes = dict(
        ticks=bt.TimeFrame.Ticks,
        microseconds=bt.TimeFrame.MicroSeconds,
        seconds=bt.TimeFrame.Seconds,
        minutes=bt.TimeFrame.Minutes,
        daily=bt.TimeFrame.Days,
        weekly=bt.TimeFrame.Weeks,
        monthly=bt.TimeFrame.Months
    )

    # Load the Data
    data0 = btfeeds.GenericCSVData(
        dataname=args.datapath,
        fromdate=args.startdate,
        todate=args.enddate,
        dtformat=args.dtformat,
        timeframe=tframes[args.rawtframe],
    )

    data1 = btfeeds.GenericCSVData(
        dataname=args.datapath,
        fromdate=args.startdate,
        todate=args.enddate,
        dtformat=args.dtformat,
        timeframe=tframes[args.rawtframe],
    )

    # First add the original data - smaller timeframe
    cerebro.resampledata(
        data0,
        timeframe=tframes[args.tframe],
        compression=args.compression,
    )

    cerebro.resampledata(
        data1,
        timeframe=tframes[args.tframe],
        compression=args.compression,
    )

    cerebro.addanalyzer(bt.analyzers.SharpeRatio, timeframe=bt.TimeFrame.Days, riskfreerate=0.03)
    cerebro.addanalyzer(bt.analyzers.Returns, timeframe=bt.TimeFrame.Days)

    cerebro.optstrategy(
        MyStrategy,
        maperiod=args.period,
        matype=args.matype,
        stoplose=args.stoplose
    )

    cerebro.broker.setcash(args.capital)
    cerebro.addsizer(bt.sizers.FixedSize, stake=args.stakesize)

    comminfo = CommInfo_Bonds_Perc(commission=args.commperc)
    cerebro.broker.addcommissioninfo(comminfo)

    # Run over everything
    results = cerebro.run()

    strats = [x[0] for x in results]

    for strat in enumerate(strats):
        print('Returns:', strat.analyzers.returns.get_analysis())
        print('Sharpe Ratio:', strat.analyzers.sharperatio.get_analysis())

Appreciation for any help.

[backtrader]

That's for a non-analyzer related error. Use in any case stdstats=False when creating a Cerebro or when doing cerebro.run, to disable the automatically added Observers

[kawaseiryuu]

@backtrader Thanks! It better solves my problem.

[Shivanshu Bohara]

How do you get that which Return and Sharpe Ratio corresponds to which map period and stop loss?

[benmercerdev]

@Shivanshu-Bohara given the code example from above you could print out the params for each, like this:

    strats = [x[0] for x in results]

    for strat in enumerate(strats):
        print('Params: ', s.p._kwargs())
        print('Returns:', strat.analyzers.returns.get_analysis())
        print('Sharpe Ratio:', strat.analyzers.sharperatio.get_analysis())