Hey guys, i'm new here and learning how to use this lib. I'm trying use somme of Teddy Koker's strategies to test a particular data and i'm having problems in some part of the code.
here is the original code: https://teddykoker.com/2019/05/improving-cross-sectional-mean-reversion-strategy-in-python/
the problem is in this part of code when try put the indicators:
def max_n(array, n):
return np.argpartition(array, -n)[-n:]
class CrossSectionalMR2(bt.Strategy):
params = (
('num_positions', 100),
)
def __init__(self):
self.inds = {}
for d in self.datas:
self.inds[d] = {}
#the problem is in the following line
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)
I simply copied the and run in the pycharm. So i got this: