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Hi, I dont understand why I am getting a KeyError: -1 ?
Any help appreciated.
#
# QuantConnect Basic Template:
# Fundamentals to using a QuantConnect algorithm.
#
# You can view the QCAlgorithm base class on Github:
# https://github.com/QuantConnect/Lean/tree/master/Algorithm
#
from datetime import date
import numpy as np
import pandas as pd
class BasicTemplateAlgorithm(QCAlgorithm):
def Initialize(self):
# Set the cash we'd like to use for our backtest
# This is ignored in live trading
self.SetCash(10000)
# Start and end dates for the backtest.
# These are ignored in live trading.
self.SetStartDate(2015,1,1)
self.SetEndDate(2015,6,1)
# Add assets you'd like to see
self.safe = self.AddEquity("AGG", Resolution.Daily).Symbol
self.tlt = self.AddEquity("TLT", Resolution.Daily).Symbol
self.Log("Safe is: {}".format(type(self.safe)))
self.Log("Safe value: {}".format(self.safe))
self.Log("tlt is: {}".format(type(self.tlt)))
self.Log("tlt value: {}".format(self.tlt))
self._symbols = []
self._symbols.append("SPY"), self._symbols.append("EFA"), self._symbols.append("EEM"), self._symbols.append("GLD")
for stock in self._symbols:
self.AddSecurity(SecurityType.Equity, stock, Resolution.Daily)
def OnData(self, slice):
# Assign the day on the date
today = self.Time
if not (today.month == 12 or today.month == 3 or today.month == 6 or today.month == 9):
return
mom_period = 22
# Find historical price and calculate momentum
histmom = self.History(self._symbols, 22, Resolution.Daily)["close"].unstack(level=0)
# mom = (histmom[-1]/histmom[0]) - 1.0
mom = (histmom.iloc[-1]/histmom.iloc[0]) - 1.0
# mom = mom.dropna()
top_assets = mom.sort_values().index[-4:]
top_assets_values = mom.sort_values()[-4:]
self.Log("History is: {}".format(type(histmom)))
self.Log("mom is: {}".format(type(mom)))
safe_percent = 0
tlt_percent = 0
# Create list to manage Portfolio
currently_holding = []
# Rebalance Securities
for x in range(len(top_assets)):
if top_assets_values[x] > 0:
self.SetHoldings(top_assets[x], 0.45)
currently_holding.append(top_assets[x])
else:
hist = self.History(self.safe, 22, Resolution.Daily)["close"].unstack(level=0)
mom = (hist[-1]/hist[0]) - 1.0
if mom > 0:
safe_percent += 0.45
if self.safe not in currently_holding:
currently_holding.append(self.safe)
else:
tlt_percent +=0.45
if self.tlt not in currently_holding:
currently_holding.append(self.tlt)
top_up = 4 - len(top_assets)
if top_up > 0:
for x in range(top_up):
hist = self.History(self.safe, 22, Resolution.Daily)["close"].unstack(level=0)
mom = (hist[-1]/hist[0]) - 1.0
if mom > 0:
safe_percent += 0.25
if self.safe not in currently_holding:
currently_holding.append(self.safe)
else:
tlt_percent += 0.25
if self.tlt not in currently_holding:
currently_holding.append(self.tlt)
print(safe_percent, tlt_percent)
if safe_percent > 0:
self.SetHoldings(self.safe, safe_percent)
if tlt_percent > 0:
self.SetHoldings(self.tlt, tlt_percent)
print ("2" + str(currently_holding))
def clear(self, data):
today = self.Time
if not (today.month == 12 or today.month == 3 or today.month == 6 or today.month == 9):
return
print("1" + str(currently_holding))
for s in Portfolio:
self.SetHoldings(s, 0)
currently_holding = []
Lexx7
Here's the error:
Runtime Error: Python.Runtime.PythonException: KeyError : -1
at Python.Runtime.PyObject.Invoke (Python.Runtime.PyTuple args, Python.Runtime.PyDict kw) [0x00033] in <69d4fd635645431aa1e955e701040fd1>:0
at Python.Runtime.PyObject.InvokeMethod (System.String name, Python.Runtime.PyTuple args, Python.Runtime.PyDict kw) [0x00007] in <69d4fd635645431aa1e955e701040fd1>:0
at Python.Runtime.PyObject.TryInvokeMember (System.Dynamic.InvokeMemberBinder binder, System.Object[] args, System.Object& result) [0x0003e] in <69d4fd635645431aa1e955e701040fd1>:0
Dan Whitnable
The error stems from the code
mom = (hist[-1]/hist[0]) - 1.0'hist' is a Pandas dataframe and con't (generally) be indexed like that. You can use the 'iloc' method to get the last row (which you did earlier in your code). Somethong like this:
mom = (hist.iloc[-1]/hist.iloc[0]) - 1.0Change this in lines 80 and 94 and see if it works.
Lexx7
Thanks Dan. Good to see you over here from Quantopian. The code I posted previously actually worked fine on Quantopian but I cant see to access the research environment here so its very difficult to debug.
This is the error I have now:
ValueError : The truth value of a Series is ambiguous.
Seems to do with the data frame I think? I did a type on the log, seems fine to me?
2015-03-02 00:00:00 History is: <class 'pandas.core.frame.DataFrame'>
2015-03-02 00:00:00 mom is: <class 'pandas.core.series.Series'>
2015-03-02 00:00:00 topassets is: <class 'pandas.core.indexes.base.Index'>
2015-03-02 00:00:00 topassetsvalues is: <class 'pandas.core.series.Series'>
2015-03-02 00:00:00 topassets value: Index([u'GLD', u'EEM', u'SPY', u'EFA'], dtype='object', name=u'symbol')
2015-03-02 00:00:00 top_assets_values value: symbol
GLD -0.058824
EEM 0.015454
SPY 0.052563
EFA 0.060952
dtype: float64
Dan Whitnable
The problem is in the two 'if' statements
if mom > 0:on lines 81 and 95 above. 'mom' is a pandas series (though it only has single row). That is why you are getting the error 'The truth value of a Series is ambiguous'. Python doesn't know how to compare a series > 0. What you really want is a single scaler value. It's a bit clugy but this works
if mom.values[0] > 0:That will look at the values (which is actually potentially a list of values since 'mom' is a series) and then take the first value. That's the scaler number you are looking for and which can then be compared > 0.
Instead, as an alternative, you could do something like that a few lines earlier when you assign 'mom'.
Aleksey, good seeing you too over here. Keep posting. I'm learning too but always willing to help out.
Lexx7
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