aspromatis/backtesting-rsi-algo

Backtesting an RSI Trading Algorithm with Quantopian Zipline and Pyfolio Python Libraries

backtesting-rsi-algo's Issues

Updating Pyfolio

Hi Erol,

Thanks for sharing these resources on youtube and on Github. Going through your videos I came across this issue with Pyfolio.

AttributeError: 'numpy.int64' object has no attribute 'to_pydatetime'

Ultimately, I managed to resolve this issue with this stackoverflow answer

https://stackoverflow.com/questions/65418898/pyfolio-attributeerror-numpy-int64-object-has-no-attribute-to-pydatetime

remove your installed pyfolio library

pip uninstall pyfolio

Install it again from its github repo

pip install git+https://github.com/quantopian/pyfolio

Its no longer and issue, but wanted to share the solution that I found incase anyone else had the same problem

Testing algorithm with the custom bundle

Erol,

I tested the asset allocation with the custom bundle from the zipline_bundle project with the backtest.py here in this project. I changed your code as below.
`#%%
import talib
from zipline.api import order_target, record, symbol, order_target_percent
# Setup our variables

def initialize(context):  

# what stock to trade - FAANG in this example
# stocklist = ['FB', 'AMZN', 'AAPL', 'NFLX', 'GOOG']
stocklist = ['SPY','TLT','IEF','GLD','DBC']
context.securities = {
    'SPY': 0.25,
    'TLT': 0.3,
    'IEF': 0.3,
    'GLD': 0.075,
    'DBC': 0.075
}

 # make a list of symbols for the list of tickers
context.stocks = [symbol(s) for s in stocklist]

 # create equal weights of each stock to hold in our portfolio
 # context.target_pct_per_stock = 1.0 / len(context.stocks)

# create initial RSI threshold values for low (oversold and buy signal) and high (overbought and sell signal)
context.LOW_RSI = 30
context.HIGH_RSI = 70
# Rebalance daily.

def handle_data(context, data):

# Load historical pricing data for the stocks, using daily frequncy and a rolling 20 days
prices = data.history(context.stocks, 'price', bar_count=20, frequency="1d")

rsis = {}

# Loop through our list of stocks
for stock in context.stocks:
    # Get the rsi of this stock.
    rsi = talib.RSI(prices[stock], timeperiod=14)[-1]
    rsis[stock] = rsi
    
    current_position = context.portfolio.positions[stock].amount
    
    # RSI is above 70 and we own shares, time to sell
    if rsi > context.HIGH_RSI and current_position > 0 and data.can_trade(stock):
        order_target(stock, 0)

    # RSI is below 30 and we don't have any shares, time to buy
    elif rsi < context.LOW_RSI and current_position == 0 and data.can_trade(stock):
        order_target_percent(stock, context.securities[stock])

# record the current RSI values of each stock for later ispection
record(vb_rsi=rsis[symbol('SPY')],
       tlt_rsi=rsis[symbol('TLT')],
       ief_rsi=rsis[symbol('IEF')],
       gld_rsi=rsis[symbol('GLD')],
       dbc_rsi=rsis[symbol('DBC')],
      )

`
I ran the above code as follows.

zipline run -f backtest-erol.py --start 2014-1-1 --end 2018-1-1 --no-benchmark -o myperf.pickle --bundle custom-bundle

I get the following error.

/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/empyrical/stats.py:710: RuntimeWarning: invalid value encountered in true_divide np.divide( /Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/empyrical/stats.py:799: RuntimeWarning: invalid value encountered in true_divide np.divide(average_annual_return, annualized_downside_risk, out=out) Traceback (most recent call last): File "/Users/rnu/Documents/virtualenv3/financials/bin/zipline", line 8, in <module> sys.exit(main()) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/core.py", line 1128, in __call__ return self.main(*args, **kwargs) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/core.py", line 1053, in main rv = self.invoke(ctx) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/core.py", line 1659, in invoke return _process_result(sub_ctx.command.invoke(sub_ctx)) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/core.py", line 1395, in invoke return ctx.invoke(self.callback, **ctx.params) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/core.py", line 754, in invoke return __callback(*args, **kwargs) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/__main__.py", line 106, in _ return f(*args, **kwargs) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/click/decorators.py", line 26, in new_func return f(get_current_context(), *args, **kwargs) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/__main__.py", line 300, in run return _run( File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/utils/run_algo.py", line 200, in _run perf = TradingAlgorithm( File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/algorithm.py", line 624, in run for perf in self.get_generator(): File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/gens/tradesimulation.py", line 228, in transform for capital_change_packet in every_bar(dt): File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/gens/tradesimulation.py", line 143, in every_bar handle_data(algo, current_data, dt_to_use) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/utils/events.py", line 206, in handle_data event.handle_data( File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/utils/events.py", line 229, in handle_data self.callback(context, data) File "/Users/rnu/Documents/virtualenv3/financials/lib/python3.8/site-packages/zipline/algorithm.py", line 447, in handle_data self._handle_data(self, data) File "backtest-erol.py", line 57, in handle_data order_target_percent(stock, context.securities[stock]) KeyError: Equity(0 [DBC])

Have you tried the algo backtest with custom bundles? Any idea how to make it work. Apprecite your kind help.