vladisld,
Thanks very much. I will have a look at that later and let you know.
Cheers,
Paul
vladisld,
Thanks very much. I will have a look at that later and let you know.
Cheers,
Paul
I am using the following strategy:
def max_n(array, n):
return np.argpartition(array, -n)[-n:]
class CrossSectionalMR(bt.Strategy):
params = (
('num_positions', 100),
)
def __init__(self, temp):
self.inds = {}
for d in self.datas:
self.inds[d] = {}
self.inds[d]["pct"] = bt.indicators.PercentChange(d.close, period=1)
def prenext(self):
self.next()
def next(self):
available = list(filter(lambda d: len(d), self.datas)) # only look at data that existed yesterday
rets = np.zeros(len(available))
for i, d in enumerate(available):
rets[i] = self.inds[d]['pct'][0]
market_ret = np.mean(rets)
weights = -(rets - market_ret)
max_weights_index = max_n(np.abs(weights), self.params.num_positions)
max_weights = weights[max_weights_index]
weights = weights / np.sum(np.abs(max_weights))
for i, d in enumerate(available):
if i in max_weights_index:
self.order_target_percent(d, target=weights[i])
else:
self.order_target_percent(d, 0)
and I get the following error:
Traceback (most recent call last):
File "/home/poblivsig/Software/pycharm-2020.3.1/plugins/python/helpers/pydev/pydevd.py", line 1477, in _exec
pydev_imports.execfile(file, globals, locals) # execute the script
File "/home/poblivsig/Software/pycharm-2020.3.1/plugins/python/helpers/pydev/_pydev_imps/_pydev_execfile.py", line 18, in execfile
exec(compile(contents+"\n", file, 'exec'), glob, loc)
File "/home/poblivsig/Dropbox/meanrev/main.py", line 190, in <module>
dd, cagr, sharpe = backtest(datas, CrossSectionalMR, plot=True, num_positions=100)
File "/home/poblivsig/Dropbox/meanrev/main.py", line 181, in backtest
results = cerebro.run()
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1293, in runstrategies
self._runonce(runstrats)
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/cerebro.py", line 1652, in _runonce
strat._once()
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineiterator.py", line 297, in _once
indicator._once()
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineiterator.py", line 297, in _once
indicator._once()
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/linebuffer.py", line 630, in _once
self.oncestart(self._minperiod - 1, self._minperiod)
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/lineroot.py", line 165, in oncestart
self.once(start, end)
File "/home/poblivsig/Dropbox/meanrev/venv/lib/python3.8/site-packages/backtrader/linebuffer.py", line 672, in once
dst[i] = src[i + ago]
IndexError: array assignment index out of range
python-BaseExceptio
Any ideas what I am doing wrong?