Comments (3)
Hello! I'm not sure I understand, sorry. Data that is fed to the optimization routines can never have np.nan
. Historical market data is managed, in this case, by UserProvidedMarketData
. Its default behavior is to look at the returns
dataframe and at every time step only include in the back-test (or online execution) names that have non-nan return for the period and have had non-nan returns for at least a min_history
time period. The interface is defined in the MarketData
base class, so if you want a different behavior you can derive from there (it only has 3 public methods). The default one defines its logic in MarketDataInMemory
so you may as well redefine the one or two methods that have to do with the asset selection (I may make it easier to do in the future). MarketSimulator
also has logic to decide what to do if an asset is dropped during a back-test, the default behavior is to liquidate (transform in cash) without transaction cost, assuming it's an M&A kind of situation. In general the default behavior are designed around daily trading of stocks in the US, but any other can be achieved by deriving from the default objects.
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Reopening this because I need to improve docs on it.
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You should post the stack trace, there are many pieces that could throw a nan error. values_in_time
is the method called by all elements of a policy at each point in time of a back-test. If you're sure the error comes from the ReturnsForecast
then it could be a missing or misaligned timestamp, or a missing asset. Do you have constant or varying universe?
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Related Issues (20)
- Questions on accounting model (e.g., for short positions) HOT 3
- Robustify online execution of example strategies (when open prices are missing) HOT 1
- Failure on non-numeric (object dtpye) user-provided data difficult to understand HOT 6
- Example request - Margin in a different currency HOT 14
- BUG: packaging failed to include modules moved into submodules (constraints, data)
- Feature request: handle user-defined time-varying universes (and better error checks with temporary `nan`s in user-provided returns) HOT 13
- Data quality issues in `ftse100_daily` example strategy
- EOFError: Ran out of input HOT 4
- Rendering of code blocks in README on github is broken
- Feature request: add `market_data=None` option to `Policy.execute`
- Feature request: Add constraint priority with automatic resolution into soft-constraints HOT 1
- Is it possible to have different costs definition depending on entry or exit HOT 1
- can we load into our custom crypto data into cvxportfolio for backtesting and portfolio construction ? [bounty possible] HOT 1
- Feature Request: Online Data Loading HOT 1
- Ecos needs to added in pyproject "test" optional dependencies HOT 1
- Issue loading data from FRED HOT 9
- Testsuite failing on py 3.9 b/c of dependencies HOT 1
- The result of backtesting 30 years is different from 5 years? HOT 5
- Feature Request: Ignore Tcosts in first period HOT 2
- Incompatible with Numpy 2.0
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