Я использую backtrader, чтобы делать некоторые прогнозы по акциям на основе настроенийСледующий код приводит к ошибке в последней строке cerebro.run()
Весь код работает отлично.Непосредственно перед окончательным запуском и построением графика возникает ошибка.
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
import backtrader.indicators as btind
import datetime
import os.path
import sys
class Sentiment(bt.Indicator):
lines = ('sentiment',)
plotinfo = dict(
plotymargin=0.15,
plothlines=[0],
plotyticks=[1.0, 0, -1.0])
def next(self):
self.date = self.data.datetime
date = bt.num2date(self.date[0]).date()
prev_sentiment = self.sentiment
if date in date_sentiment:
self.sentiment = date_sentiment[date]
self.lines.sentiment[0] = self.sentiment
class SentimentStrat(bt.Strategy):
params = (
('period', 15),
('printlog', True),
)
def log(self, txt, dt=None, doprint=False):
''' Logging function for this strategy'''
if self.params.printlog or doprint:
dt = dt or self.datas[0].datetime.date(0)
print('%s, %s' % (dt.isoformat(), txt))
def __init__(self):
# Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.datas[0].close
# Keep track of pending orders
self.order = None
self.buyprice = None
self.buycomm = None
self.sma = bt.indicators.SimpleMovingAverage(
self.datas[0], period=self.params.period)
self.date = self.data.datetime
self.sentiment = None
Sentiment(self.data)
def notify_order(self, order):
if order.status in [order.Submitted, order.Accepted]:
# Buy/Sell order submitted/accepted to/by broker - Nothing to do
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.log(
'BUY EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f' %
(order.executed.price,
order.executed.value,
order.executed.comm))
self.buyprice = order.executed.price
self.buycomm = order.executed.comm
else: # Sell
self.log('SELL EXECUTED, Price: %.2f, Cost: %.2f, Comm %.2f'
%
(order.executed.price,
order.executed.value,
order.executed.comm))
self.bar_executed = len(self)
elif order.status in [order.Canceled, order.Margin, order.Rejected]:
self.log('Order Canceled/Margin/Rejected')
# Write down: no pending order
self.order = None
def notify_trade(self, trade):
if not trade.isclosed:
return
self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
(trade.pnl, trade.pnlcomm))
### Main Strat ###
def next(self):
# log closing price of the series from the reference
self.log('Close, %.2f' % self.dataclose[0])
date = bt.num2date(self.date[0]).date()
prev_sentiment = self.sentiment
if date in date_sentiment:
self.sentiment = date_sentiment[date]
# Check if an order is pending. if yes, we cannot send a 2nd one
if self.order:
return
print(self.sentiment)
# If not in the market and previous sentiment not none
if not self.position and prev_sentiment:
# buy if current close more than sma AND sentiment increased by
>= 0.5
if self.dataclose[0] > self.sma[0] and self.sentiment -
prev_sentiment >= 0.5:
self.log('BUY CREATE, %.2f' % self.dataclose[0])
self.order = self.buy()
# Already in the market and previous sentiment not none
elif prev_sentiment:
# sell if current close less than sma AND sentiment decreased by
>= 0.5
if self.dataclose[0] < self.sma[0] and self.sentiment -
prev_sentiment <= -0.5:
self.log('SELL CREATE, %.2f' % self.dataclose[0])
self.order = self.sell()
def stop(self):
self.log('(MA Period %2d) Ending Value %.2f' %
(self.params.period, self.broker.getvalue()), doprint=True)
if __name__ == '__main__':
cerebro = bt.Cerebro()
# Strategy
cerebro.addstrategy(SentimentStrat)
# Data Feed
data = bt.feeds.YahooFinanceCSVData(
dataname = r'C:\Users\HP\Downloads\AMZN.csv',
fromdate = earliest_date,
todate = datetime.datetime(2019,6,19),
reverse = False
)
cerebro.adddata(data)
cerebro.broker.setcash(100000.0)
cerebro.addsizer(bt.sizers.FixedSize, stake=10)
cerebro.broker.setcommission(commission=0.001)
print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.run()
print('Final Portfolio Value: %.2f' % cerebro.broker.getvalue())
cerebro.plot()
Приводит к TypeError: must be real number, not LineBuffer