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Home Page: https://letianzj.github.io/
License: MIT License
Quantitative analysis, strategies and backtests
Home Page: https://letianzj.github.io/
License: MIT License
Appreciate your contributions here. For me, the main benefit of Market Profile is that it provides a quick and highly visual way of looking at several days’ worth of intraday price action. When looking at market profile across multiple days, instead of aggregating all of the PTO bars on the x-axis, would it be possible to show them above each date? This would involve removing the candlesticks and volume bars and just showing PTO arranged above each day. there are some indicative pictures here - https://www.epsilontheory.com/bitcoin-market-profile/
Hi,
I am getting this error while running ma_double_cross.py.
Can only append a Series if ignore_index=True or if the Series has a name
File "/Users/xxx/auto_trade/2021/letianzj/quanttrader/quanttrader/performance/performance_manager.py", line 69, in update_performance
self._df_positions.loc[performance_time] = [0] * len(self._df_positions.columns)
File "/Users/xxx/auto_trade/2021/letianzj/quanttrader/quanttrader/backtest_engine.py", line 148, in run
self._performance_manager.update_performance(self._current_time, self._position_manager, self._data_board)
File "/Users/xxx/auto_trade/2021/letianzj/QuantResearch/backtest/ma_double_cross.py", line 141, in
ds_equity, df_positions, df_trades = backtest_engine.run()
when I debugged, error on this line.
self._df_positions.loc[performance_time] = [0] * len(self._df_positions.columns)
printed the below are the values:
performance_time = None
[0] * len(self._df_positions.columns) = [0,0]
Please advise.
After the data is downloaded, I am getting the following error:
Traceback (most recent call last):
File "portfolio_management_one.py", line 47, in <module>
port_return = np.dot(w.T, hist_mean.as_matrix()) * 250 # annualize; 250 business days
File "C:\Users\namit\anaconda3\lib\site-packages\pandas\core\generic.py", line 5130, in __getattr__
return object.__getattribute__(self, name)
AttributeError: 'DataFrame' object has no attribute 'as_matrix'
Hi Letianzj,
You have an awesome collection of codes. I was unable to find the 'hist' folder which should consist the 'EWC US Equity.csv' and 'EWA US Equity.csv' files for the 'pairs_trading_kalman_filter.py' to run. I did try substituting it with prices from Yahoo and happen to get the below error:
numpy.linalg.LinAlgError: SVD did not converge in Linear Least Squares
By any chance would you be able to upload the original 'hist' folder with the csv files ?
Thanks in advance
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