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mementum / bta-lib

Technical Analysis library in pandas for backtesting algotrading and quantitative analysis
MIT License
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MAMA indicator ValueError #5

Open iamcos opened 4 years ago

iamcos commented 4 years ago

Traceback (most recent call last): File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/series.py", line 1014, in setitem self._set_with_engine(key, value) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/series.py", line 1054, in _set_with_engine self.index._engine.set_value(values, key, value) File "pandas/_libs/index.pyx", line 96, in pandas._libs.index.IndexEngine.set_value File "pandas/_libs/index.pyx", line 106, in pandas._libs.index.IndexEngine.set_value File "pandas/_libs/index.pyx", line 116, in pandas._libs.index.IndexEngine.get_loc TypeError: 'slice(11, None, None)' is an invalid key

During handling of the above exception, another exception occurred:

Traceback (most recent call last): File "/Users/cosmos/GitHub/haasomeapitools/btalibtest.py", line 23, in mama, fama = btalib.mama(data.High,data.Low,fastlimit=10,slowlimit=5) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/btalib/indicator.py", line 152, in call b_init(self, *args, *kwargs) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/btalib/indicators/mama.py", line 79, in init _mama = p0._ewm(alpha=alpha, span=1, _seed=SEED_ZERO)._mean() File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/btalib/meta/lines.py", line 357, in _mean return self._apply(_dynalpha) # triggers getattr for _apply File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/btalib/meta/lines.py", line 379, in call_op result[self._minidx:] = r = op(sargs, kwargs) # run/store File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/series.py", line 1042, in setitem self._set_with(key, value) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/series.py", line 1064, in _set_with return self._set_values(indexer, value) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/series.py", line 1111, in _set_values self._data = self._data.setitem(indexer=key, value=value) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/internals/managers.py", line 561, in setitem return self.apply("setitem", kwargs) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/internals/managers.py", line 442, in apply applied = getattr(b, f)(**kwargs) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/internals/blocks.py", line 877, in setitem check_setitem_lengths(indexer, value, values) File "/Users/cosmos/GitHub/haasomeapitools/.env/lib/python3.7/site-packages/pandas/core/indexers.py", line 124, in check_setitem_lengths "cannot set using a slice indexer with a "

nickjohnson22 commented 4 years ago

What package version are you using?

I'm currently using mama in production without issue. The only question I have is whether or not the calculations are done correctly, and unfortunately, I am having a hard time figuring that out.

nickjohnson22 commented 4 years ago

Also, you're going to get a false positive almost every tick with those parameters. You may already know this, but the default for fast is 0.5. The default for slow is 0.05, and those parameters work pretty darn well.