Hi, I created a custom array in pre_sim_func_nb in wh

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How to access a custom array created in pre_sim_func_nb after the backtest is complete ? about vectorbt HOT 5 CLOSED

Kinzowa commented on September 24, 2024

How to access a custom array created in pre_sim_func_nb after the backtest is complete ?

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Comments (5)

polakowo commented on September 24, 2024

You should create the array outside the simulation and pass it to the callback. If you write it inside the callback, you can read the written values after the simulation if you keep the reference to the array.

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Kinzowa commented on September 24, 2024

You should create the array outside the simulation and pass it to the callback. If you write it inside the callback, you can read the written values after the simulation if you keep the reference to the array.

Hi Oleg, could you please give an example on how to reference the array after the simulation ?

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polakowo commented on September 24, 2024

def some_callback(c, my_array, ...):
    my_array[i, col] = ...

my_array = np.full(...)
pf = vbt.Portfolio.from_signals(..., some_callback=some_callback, some_args=(my_array, ...))
print(my_array)

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Kinzowa commented on September 24, 2024

Thanks, much appreciated.

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Kinzowa commented on September 24, 2024

I tried with the information you provided but it throw an error :

TypeError: Portfolio.init() got an unexpected keyword argument 'callback'

What could be the reason ?
This is how I call from_order_func :

def generate(self):
  vbt.Portfolio.from_order_func(
              self._close,
              self._order_func_nb,
              vbt.Rep("long_entries"),
              vbt.Rep("long_exits"),
              vbt.Rep("short_entries"),
              vbt.Rep("short_exits"),
              vbt.Rep("weight"),
              vbt.Rep("messages"),
              pre_sim_func_nb=self.pre_sim_func_nb,
              pre_sim_args=(
                  vbt.Rep("open"),
                  vbt.Rep("high"),
                  vbt.Rep("low"),
              ),
              post_order_func_nb=self.post_order_func_nb,
              post_order_args=(
                  vbt.Rep("take_profit_enabled"),
                  vbt.Rep("take_profit_threshold"),
                  vbt.Rep("messages"),
              ),
              broadcast_named_args=dict(  # broadcast against each other
                  ...
              ),
              freq=self.freq,
              callback=self.update_array,  # <------------------------------ Callback
              callback_args=(self._failed_orders,)
          )

@staticmethod
def update_array(c, array):
    print(c)