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VectorBT-Tutorials

A Collection of public tutorials published in the qubitquants.pro blog. The data required for running the tutorial is in the data/ folder.

Requirements:

vectorbtpro

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vectorbt_pro_tutorials's Issues

KeyError: 'Symbol' when signal_data.transform in Discretionary_Signal_Backtesting.ipynb

Description

The issue happens when running signal_data = signal_data.transform(transform_signal_data) in notebook Discretionary_Signal_Backtesting.ipynb

Env

python: 3.11.7
vbt.version: '2024.1.30'

Complete callstack

---------------------------------------------------------------------------
KeyError                                  Traceback (most recent call last)
File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\base.py:3791](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3791), in Index.get_loc(self, key)
   [3790](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3790) try:
-> [3791](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3791)     return self._engine.get_loc(casted_key)
   [3792](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3792) except KeyError as err:

File index.pyx:152, in pandas._libs.index.IndexEngine.get_loc()

File index.pyx:181, in pandas._libs.index.IndexEngine.get_loc()

File pandas\_libs\hashtable_class_helper.pxi:7080, in pandas._libs.hashtable.PyObjectHashTable.get_item()

File pandas\_libs\hashtable_class_helper.pxi:7088, in pandas._libs.hashtable.PyObjectHashTable.get_item()

KeyError: 'Symbol'

The above exception was the direct cause of the following exception:

KeyError                                  Traceback (most recent call last)
Cell In[129], [line 18](vscode-notebook-cell:?execution_count=129&line=18)
     [14](vscode-notebook-cell:?execution_count=129&line=14)     df = df[df["EntryPrice"] > 0]
     [16](vscode-notebook-cell:?execution_count=129&line=16)     return df
---> [18](vscode-notebook-cell:?execution_count=129&line=18) signal_data = signal_data.transform(transform_signal_data)
     [20](vscode-notebook-cell:?execution_count=129&line=20) print("Final Signal DF Shape:",signal_data.wrapper.shape)

File [c:\Users\wayne\.conda\envs\vectorbtpro\Lib\site-packages\vectorbtpro\data\base.py:3348](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3348), in Data.transform(self, transform_func, per_feature, per_symbol, pass_frame, key_wrapper_kwargs, template_context, *args, **kwargs)
   [3346](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3346)     new_concat_data = pd.concat(new_concat_data, axis=1)
   [3347](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3347) else:
-> [3348](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3348)     new_concat_data = _transform(concat_data)
   [3349](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3349)     checks.assert_meta_equal(new_concat_data, concat_data, axis=1)
   [3350](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3350) native_concat_data = pd.concat(self.data.values(), axis=1, keys=None)

File [c:\Users\wayne\.conda\envs\vectorbtpro\Lib\site-packages\vectorbtpro\data\base.py:3248](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3248), in Data.transform.<locals>._transform(data, _template_context)
   [3246](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3246) _args = substitute_templates(args, _template_context, sub_id="args")
   [3247](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3247) _kwargs = substitute_templates(kwargs, _template_context, sub_id="kwargs")
-> [3248](file:///C:/Users/wayne/.conda/envs/vectorbtpro/Lib/site-packages/vectorbtpro/data/base.py:3248) return _transform_func(data, *_args, **_kwargs)

Cell In[129], [line 5](vscode-notebook-cell:?execution_count=129&line=5)
      [3](vscode-notebook-cell:?execution_count=129&line=3) # Select only one symbol, the one we fetched the data for
      [4](vscode-notebook-cell:?execution_count=129&line=4) print("DF All Columns:",df.columns.tolist())
----> [5](vscode-notebook-cell:?execution_count=129&line=5) df = df[df["Symbol"] == symbol]
      [7](vscode-notebook-cell:?execution_count=129&line=7) # Select columns of interest
      [8](vscode-notebook-cell:?execution_count=129&line=8) df = df.iloc[:, [0, 3, 4, 5, 6, 7, 8 , 9]]

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\frame.py:3892](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3892), in DataFrame.__getitem__(self, key)
   [3890](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3890) if is_single_key:
   [3891](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3891)     if self.columns.nlevels > 1:
-> [3892](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3892)         return self._getitem_multilevel(key)
   [3893](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3893)     indexer = self.columns.get_loc(key)
   [3894](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3894)     if is_integer(indexer):

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\frame.py:3950](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3950), in DataFrame._getitem_multilevel(self, key)
   [3948](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3948) def _getitem_multilevel(self, key):
   [3949](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3949)     # self.columns is a MultiIndex
-> [3950](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3950)     loc = self.columns.get_loc(key)
   [3951](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3951)     if isinstance(loc, (slice, np.ndarray)):
   [3952](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/frame.py:3952)         new_columns = self.columns[loc]

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\multi.py:2925](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2925), in MultiIndex.get_loc(self, key)
   [2922](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2922)     return mask
   [2924](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2924) if not isinstance(key, tuple):
-> [2925](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2925)     loc = self._get_level_indexer(key, level=0)
   [2926](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2926)     return _maybe_to_slice(loc)
   [2928](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2928) keylen = len(key)

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\multi.py:3276](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3276), in MultiIndex._get_level_indexer(self, key, level, indexer)
   [3273](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3273)         return slice(i, j, step)
   [3275](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3275) else:
-> [3276](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3276)     idx = self._get_loc_single_level_index(level_index, key)
   [3278](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3278)     if level > 0 or self._lexsort_depth == 0:
   [3279](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3279)         # Desired level is not sorted
   [3280](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3280)         if isinstance(idx, slice):
   [3281](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:3281)             # test_get_loc_partial_timestamp_multiindex

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\multi.py:2865](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2865), in MultiIndex._get_loc_single_level_index(self, level_index, key)
   [2863](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2863)     return -1
   [2864](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2864) else:
-> [2865](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/multi.py:2865)     return level_index.get_loc(key)

File [~\AppData\Roaming\Python\Python311\site-packages\pandas\core\indexes\base.py:3798](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3798), in Index.get_loc(self, key)
   [3793](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3793)     if isinstance(casted_key, slice) or (
   [3794](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3794)         isinstance(casted_key, abc.Iterable)
   [3795](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3795)         and any(isinstance(x, slice) for x in casted_key)
   [3796](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3796)     ):
   [3797](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3797)         raise InvalidIndexError(key)
-> [3798](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3798)     raise KeyError(key) from err
   [3799](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3799) except TypeError:
   [3800](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3800)     # If we have a listlike key, _check_indexing_error will raise
   [3801](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3801)     #  InvalidIndexError. Otherwise we fall through and re-raise
   [3802](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3802)     #  the TypeError.
   [3803](https://file+.vscode-resource.vscode-cdn.net/c%3A/project/tmp/vectorbt_pro_tutorials/~/AppData/Roaming/Python/Python311/site-packages/pandas/core/indexes/base.py:3803)     self._check_indexing_error(key)

KeyError: 'Symbol'

Qubitquants.pro

Hi,

This website is no long valid, I was using it to learn vectorbt pro, I was at the section that do plotting so I need somehow get access to the code which is not available here either. Would you be kind enough to post the codes here, thanks

Plot OHLCV data first

kwargs1 = {"title_text" : "OHLCV Plot", "title_font_size" : 18}
h4_ohlc_sample = df[["Open", "High", "Low", "Close"]].iloc[100:200]#.dropna()
f = h4_ohlc_sample.vbt.ohlcv.plot(**kwargs1)
f.show()

<

`df.iloc[100:200].plot(fig = f,
lowerband_trace_kwargs=dict(fill=None, name = 'BB_Price_Lower'),
upperband_trace_kwargs=dict(fill=None, name = 'BB_Price_Upper'),
middleband_trace_kwargs=dict(fill=None, name = 'BB_Price_Middle')).show()

`

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