Trend following strategy BUG

magenta.grimer

Hi!

Trend based strategy yields

ValueError                                Traceback (most recent call last)
<ipython-input-8-2c74c3293472> in <module>
     72     lookback_period=5 * 365,
     73     start_date='2006-01-01',
---> 74     strategy=strategy
     75 )

~/book/qnt/backtester.py in backtest(competition_type, strategy, load_data, lookback_period, test_period, start_date, window, step, analyze, build_plots, collect_all_states)
     86     log_info("Load data for cleanup...")
     87     data = qndata.load_data_by_type(competition_type, assets=result.asset.values.tolist(), tail=60)
---> 88     result = qnout.clean(result, data)
     89     result.name = competition_type
     90     log_info("Write result...")

~/book/qnt/output.py in clean(output, data, kind, debug)
     61         if single_day:
     62             output = output.drop(ds.TIME, errors='ignore')
---> 63             output = xr.concat([output], pd.Index([data.coords[ds.TIME].values.max()], name=ds.TIME))
     64         else:
     65             log_info("ffill if the current price is None...")

/usr/local/lib/python3.7/site-packages/numpy/core/_methods.py in _amax(a, axis, out, keepdims, initial, where)
     37 def _amax(a, axis=None, out=None, keepdims=False,
     38           initial=_NoValue, where=True):
---> 39     return umr_maximum(a, axis, None, out, keepdims, initial, where)
     40 
     41 def _amin(a, axis=None, out=None, keepdims=False,

ValueError: zero-size array to reduction operation maximum which has no identity

magenta.grimer

@magenta-grimer trend following strategy created on 27 nov 2020

support

@magenta-grimer

Hello.

I confirm this bug.
It is fixed now.
If you clone this template again, it will work ok.

Thank you very much for your report.