RuntimeWarning: Degrees of freedom <= 0 for slice

[brandsimon]

Dear Catalyst Maintainers,

Before I tell you about my issue, let me describe my environment:

Environment

• Operating System: Linux backtest 3.10.0-862.11.6.el7.x86_64 #1 SMP Tue Aug 14 21:49:04 UTC 2018 x86_64 x86_64 x86_64 GNU/Linux
• Python Version: Python 3.6.5
• Python Bitness: 64
• How did you install Catalyst: pip
• Python packages: aiodns==1.1.1 aiohttp==3.0.1 alembic==0.9.7 async-timeout==2.0.1 attrdict==2.0.0 attrs==18.1.0 bcolz==1.2.1 berserkerlib==0.0.7 boto3==1.5.27 botocore==1.8.50 Bottleneck==1.2.1 cchardet==2.1.1 ccxt==1.12.131 certifi==2018.1.18 chardet==3.0.4 click==6.7 contextlib2==0.5.5 cycler==0.10.0 cyordereddict==1.0.0 Cython==0.27.3 cytoolz==0.9.0.1 decorator==4.3.0 docutils==0.14 empyrical==0.2.1 enigma-catalyst==0.5.18 eth-abi==1.1.1 eth-account==0.2.3 eth-hash==0.1.4 eth-keyfile==0.5.1 eth-keys==0.2.0b3 eth-rlp==0.1.2 eth-typing==1.1.0 eth-utils==1.2.0 hexbytes==0.1.0 idna==2.6 idna-ssl==1.1.0 intervaltree==2.1.0 jmespath==0.9.3 kiwisolver==1.0.1 Logbook==0.12.5 lru-dict==1.1.6 lxml==4.2.4 Mako==1.0.7 MarkupSafe==1.0 matplotlib==2.2.3 multidict==4.3.1 multipledispatch==0.4.9 networkx==2.1 numexpr==2.6.4 numpy==1.15.1 pandas==0.19.2 pandas-datareader==0.6.0 parsimonious==0.8.0 patsy==0.5.0 pycares==2.3.0 pycryptodome==3.6.6 pyparsing==2.2.0 python-dateutil==2.7.3 python-editor==1.0.3 pytz==2018.5 redo==1.6 requests==2.18.4 requests-file==1.4.3 requests-ftp==0.3.1 requests-toolbelt==0.8.0 rlp==1.0.2 s3transfer==0.1.13 scipy==1.0.0 six==1.11.0 sortedcontainers==1.5.9 SQLAlchemy==1.2.2 statsmodels==0.8.0 tables==3.4.2 toolz==0.9.0 urllib3==1.22 web3==4.2.1 websockets==6.0 wrapt==1.10.11 yarl==1.1.0

Now that you know a little about me, let me tell you about the issue I am having:

Description of Issue

• What did you expect to happen? Catalyst to exit without error after paper-trading period ended.

• What happened instead? I get a RuntimeWarning:

  File "algo.py", line 191, in <module>
  quote_currency="usd"
  File "/home/user/.venv/lib64/python3.6/site-packages/berserkerlib/execute.py", line 140, in parse_params_and_execute
  logger=logger,
  File "/home/user/.venv/lib64/python3.6/site-packages/berserkerlib/execute.py", line 218, in execute_algorithm
  live=live,
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/utils/run_algo.py", line 596, in run_algorithm
  stats_output=stats_output
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/utils/run_algo.py", line 358, in _run
  overwrite_sim_params=False,
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/exchange/exchange_algorithm.py", line 1051, in run
  data, overwrite_sim_params
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/exchange/exchange_algorithm.py", line 359, in run
  data, overwrite_sim_params
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/algorithm.py", line 725, in run
  for perf in self.get_generator():
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/gens/tradesimulation.py", line 247, in transform
  risk_message = algo.perf_tracker.handle_simulation_end()
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/finance/performance/tracker.py", line 470, in handle_simulation_end
  treasury_curves=self.treasury_curves,
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/finance/risk/report.py", line 98, in __init__
  1, start_session, end_session
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/finance/risk/report.py", line 157, in periods_in_range
  algorithm_leverages=self.algorithm_leverages,
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/finance/risk/period.py", line 81, in __init__
  self.calculate_metrics()
  File "/home/user/.venv/lib64/python3.6/site-packages/catalyst/finance/risk/period.py", line 126, in calculate_metrics
  self.algorithm_returns,
  File "/home/user/.venv/lib64/python3.6/site-packages/empyrical/stats.py", line 561, in sharpe_ratio
  if np.std(returns_risk_adj, ddof=1) == 0:
  File "/home/user/.venv/lib64/python3.6/site-packages/numpy/core/fromnumeric.py", line 3038, in std
  **kwargs)
  File "/home/user/.venv/lib64/python3.6/site-packages/numpy/core/_methods.py", line 140, in _std
  keepdims=keepdims)
  File "/home/user/.venv/lib64/python3.6/site-packages/numpy/core/_methods.py", line 98, in _var
  stacklevel=2)
  RuntimeWarning: Degrees of freedom <= 0 for slice

Here is how you can reproduce this issue on your machine:

Reproduction Steps

I dont know how to reproduce it. I got it randomly (maybe once a month). This time it was at paper-trading. I think, it is maybe a problem with empyrical.

What steps have you taken to resolve this already?

I tried upgrading empyrical, but it breaks a lot of other things.

Anything else?

No

Sincerely, Simon Brand

[lenak25]

Thanks for reporting @brandsimon, we will investigate.

[kurophali]

I guess it's the data you pulled has some days missing. I copied the default hodl script and change the exchange to binance then it gave me this error too.