Closed teegin-g closed 8 months ago
santoshlite
commented
11 months ago Sorry for the late reply, I'll try your suggestion to see if it works and don't break anything else and publish a new version solving this in the coming days. Thanks for pointing this out :)
pabloatb
commented
9 months ago Hi, is there any update on this error? Let me know if there's something I can help with. Thanks.
santoshlite
commented
9 months ago Hey sorry for that! I just released a new version (v2.1.4), which should fix that, keep me posted on how it goes :)
pabloatb
commented
9 months ago Great! that one is fixed but now I get: 'Series' object has no attribute 'append'
---------------------------------------------------------------------------
AttributeError Traceback (most recent call last)
~\AppData\Local\Temp\ipykernel_21060\3247741463.py in ?()
----> 1 empyrial(portfolio_EF)
2 sharpe_ratios.append(empyrial.SR)
~\anaconda3\envs\GCPortfolio\Lib\site-packages\empyrial\main.py in ?(my_portfolio, rf, sigma_value, confidence_value, report, filename)
228 end_date=dates[i + 1],
229 )
230
231 # then append those returns
--> 232 returns = returns.append(add_returns)
233 else:
234 if not my_portfolio.data.empty:
235 returns = get_returns_from_data(my_portfolio.data, my_portfolio.weights, my_portfolio.portfolio)
~\anaconda3\envs\GCPortfolio\Lib\site-packages\pandas\core\generic.py in ?(self, name)
6200 and name not in self._accessors
6201 and self._info_axis._can_hold_identifiers_and_holds_name(name)
6202 ):
6203 return self[name]
-> 6204 return object.__getattribute__(self, name)
AttributeError: 'Series' object has no attribute 'append'What pandas version should I use? I have pandas 2.1.3 now
Thanks!
santoshlite
commented
9 months ago Would it be possible to share the the code you are running so I can try to reproduce the error
pabloatb
commented
9 months ago Here's the code: Portfolio Optimization Methods.zip
If you get an error with yahoo finance, make sure that you have the last version.
The error is in the section shown in the image
Thanks for your help
santoshlite
commented
8 months ago Hey, sorry for the delay. It should work if you run the same code in the same cell as the one in which you declare the portfolio_EF. This happens because your portfolio weights and other parameters are changed at the end of running empyrial(portfolio_EF).
Best,
Santosh Passoubady
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On Thu, Feb 8, 2024 at 4:43 AM pabloatb @.***> wrote:
Portfolio Optimization Methods.zip https://github.com/ssantoshp/Empyrial/files/14207062/Portfolio.Optimization.Methods.zip Here's the code, if you get an error with yahoo finance, make sure that you have the last version. The error is in the section shown in the image image.png (view on web) https://github.com/ssantoshp/Empyrial/assets/26779858/7133492e-02b1-4fb4-b0c0-59d0354f9a2f
Thanks for your help
— Reply to this email directly, view it on GitHub https://github.com/ssantoshp/Empyrial/issues/118#issuecomment-1933697936, or unsubscribe https://github.com/notifications/unsubscribe-auth/AOWDTUNA3A3DGFB4KADLHRDYSSM3LAVCNFSM6AAAAABABXYY5WVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMYTSMZTGY4TOOJTGY . You are receiving this because you commented.Message ID: @.***>
pabloatb
commented
8 months ago Hi, thanks for your time. You mean like this?
portfolio_EF = Engine(
start_date = "2016-10-01",
portfolio = ['ADBE', 'ANSS', 'ANET', 'BR', 'CDW', 'GLW', 'IPGP', 'KEYS', 'WDC', 'NVDA', 'NXPI', 'TRMB', 'ZBRA'],
optimizer = "EF",
rebalance = "1y",
)
empyrial(portfolio_EF)
sharpe_ratios.append(empyrial.SR)Because doing that, still causes this error:
Rebalance schedule:
2017-10-01 00:00:00 2018-10-01 00:00:00 2019-10-01 00:00:00 \
ADBE 0.04655 0.11264 0.11729
ANSS 0.04353 0.08173 0.11210
ANET 0.17353 0.13630 0.11972
BR 0.02403 0.08218 0.07852
CDW 0.06073 0.07910 0.14752
GLW 0.03052 0.03671 0.00091
IPGP 0.19182 0.05190 0.02547
KEYS 0.03512 0.08483 0.16119
WDC 0.05574 0.00000 0.00000
NVDA 0.20995 0.19158 0.09095
NXPI 0.00901 0.00000 0.00000
TRMB 0.04534 0.02908 0.00478
ZBRA 0.07413 0.11395 0.14155
2020-09-30 00:00:00 2021-09-30 00:00:00 2022-09-30 00:00:00 \ADBE 0.16974 0.12269 0.05442
ANSS 0.12500 0.07639 0.05062
ANET 0.05074 0.07929 0.17202
BR 0.05531 0.05985 0.07340
CDW 0.08521 0.10311 0.13226
GLW 0.00000 0.00000 0.00000
IPGP 0.02253 0.00000 0.00000
KEYS 0.10801 0.12894 0.18217
WDC 0.00000 0.00000 0.00000
NVDA 0.24619 0.21034 0.19938
NXPI 0.00000 0.00000 0.00000
TRMB 0.00894 0.05285 0.01776
ZBRA 0.12832 0.16655 0.11797
2023-09-30 00:00:00 2024-03-12 AttributeError Traceback (most recent call last) ~\AppData\Local\Temp\ipykernel_5284\500546861.py in ?() 3 portfolio = ['ADBE', 'ANSS', 'ANET', 'BR', 'CDW', 'GLW', 'IPGP', 'KEYS', 'WDC', 'NVDA', 'NXPI', 'TRMB', 'ZBRA'], 4 optimizer = "EF", 5 rebalance = "1y", 6 ) ----> 7 empyrial(portfolio_EF) 8 sharpe_ratios.append(empyrial.SR) 9 #portfolio_EF.weights
~\anaconda3\envs\GCPortfolio\Lib\site-packages\empyrial\main.py in ?(my_portfolio, rf, sigma_value, confidence_value, report, filename) 228 end_date=dates[i + 1], 229 ) 230 231 # then append those returns --> 232 returns = returns.append(add_returns) 233 else: 234 if not my_portfolio.data.empty: 235 returns = get_returns_from_data(my_portfolio.data, my_portfolio.weights, my_portfolio.portfolio)
~\anaconda3\envs\GCPortfolio\Lib\site-packages\pandas\core\generic.py in ?(self, name) 6200 and name not in self._accessors 6201 and self._info_axis._can_hold_identifiers_and_holds_name(name) 6202 ): 6203 return self[name] -> 6204 return object.getattribute(self, name)
AttributeError: 'Series' object has no attribute 'append'
pabloatb
commented
8 months ago Nevermind, with python 3.10 and this packages works great. Thanks again
bta-lib==1.0.0
empyrial==2.1.4
pandas==1.5.3
numpy==1.25.2
matplotlib==3.7.1
scipy==1.11.4
yfinance==0.2.37
quantstats==0.0.62
python-dateutil==2.8.2
pytz==2023.4
kiwisolver==1.4.5
pyparsing==3.1.2
sklearn-pandas==2.2.0
Describe the bug When I specify the rebalance parameter when creating a portfolio object, the empyrial function will return "ValueError: The truth value of a DataFrame is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all()."
To Reproduce
ValueError Traceback (most recent call last) Cell In[39], line 1 ----> 1 empyrial(portfolio)
File ~\anaconda3\envs\myenv\lib\site-packages\empyrial\main.py:192, in empyrial(my_portfolio, rf, sigma_value, confidence_value, report, filename) 191 def empyrial(my_portfolio, rf=0.0, sigma_value=1, confidence_value=0.95, report=False, filename="empyrial_report.pdf"): --> 192 if my_portfolio.rebalance != None: 193 # we want to get the dataframe with the dates and weights 194 rebalance_schedule = my_portfolio.rebalance 196 columns = []
File ~\anaconda3\envs\myenv\lib\site-packages\pandas\core\generic.py:1527, in NDFrame.nonzero(self) 1525 @final 1526 def nonzero(self) -> NoReturn: -> 1527 raise ValueError( 1528 f"The truth value of a {type(self).name} is ambiguous. " 1529 "Use a.empty, a.bool(), a.item(), a.any() or a.all()." 1530 )
ValueError: The truth value of a DataFrame is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all().
Expected behavior However, when I remove the rebalance parameter, I get the expected output: metrics, graphs, everything, ex: from empyrial import empyrial, Engine import pandas as pd portfolio = Engine( start_date = "2018-08-01", portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"], optimizer = "EF" ) empyrial(portfolio)
Other details I found that if I modify this part: if my_portfolio.rebalance != None: [...] to if isinstance(my_portfolio.rebalance, pd.DataFrame): [...] It seems to work properly?
I'm running this via dataspell in an anaconda environment (2.5.0) on a windows PC. I'm an economics student and this is my first github post so let me know if you need any additional information