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?