Backtrader giving IndexError: array assignment index out of range

Question

I am trying to run 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)

The full error is:

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 help would be greatly appreciated.

I grab the data from Yahoo and store it in csv files which are then loaded up and added to Cerebro. Sometimes, the code cannot get the full list of the SPY, but I don't think that is the problem here.

Backtrader giving IndexError: array assignment index out of range

0 Answers0