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Quantopian corrupts simple list. Why? How to work around?

Hello QWorld,

I'm trying to extract a simple list from history() and I cannot.

I'd welcome any clues on how to do this.

Please see the attached algo for my code intentions.

Dan

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Sharpe
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Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# bad_yclass2.py

# Subject:
# Quantopian corrupts simple list.
# Why?
# How to work-around?
# Reproduce the problem at line 45.

import numpy as np
from sklearn import linear_model

def initialize(context):
  context.spy = symbol('SPY')

def handle_data(context, data):
  # Hard coded prices:
  x0  = [186.24, 188.54, 190.32, 194.05, 192.71, 194.95, 196.38, 196.11, 198.37, 198.14, 199.45]
  x0  = np.array(x0)
  x1 = x0 - 1
  x0m = np.mean(x0)
  yclass0  = x0 > x0m
  bigx = np.zeros( (len(x0),2) )
  bigx[:,0] = x0
  bigx[:,1] = x1
  clf = linear_model.LogisticRegression()
  # A nice simple list:
  yclass0 = [aclass for aclass in yclass0]
  # I should see:
  # [False, False, False, False, False, True, True, True, True, True, True]
  print(yclass0)
  clf.fit(bigx, yclass0)

  # Now get yclass from history() rather than my hardcoded list.
  prices  = history(bar_count=11, frequency='1d', field='price')
  x2      = np.array([aprice[0] for aprice in prices.values])
  x2m     = np.mean(x2)
  yclass1 = x2 > x2m
  # A nice simple list:
  yclass2 = [aclass for aclass in yclass1]
  # I should see:
  # [False, False, False, False, False, True, True, True, True, True, True]
  print(yclass2)

  # uncomment next line and it fails due to yclass2, why?:
  #clf.fit(bigx, yclass2)
  # Error due to yclass2:
  # Runtime exception: ValueError: The number of classes has to be greater than one.

  # yclass2 looks the same as yclass0 and yclass3:
  yclass3 = [False, False, False, False, False, True, True, True, True, True, True]
  clf.fit(bigx, yclass3)

  # Q1: What makes yclass2 different?
  # ans: yclass2 was derived from prices from history()
  # Also,
  # yclass2 must be different than yclass0 and yclass3,
  # but print() is unable to tell me what the difference is.
  # Q2: What can I do to discern the difference between yclass2,0,3?
  # Q3: How can I operate on yclass2 so it behaves like yclass0,3?

  # Clue to Q1:
  # When I attempt to see yclass2 in debugger, I get error:
  # TypeError: iteration over a 0-d array
  #
There was a runtime error.
2 responses

Hi Dan,

I see where your confusing is coming from. The error is being thrown before the algorithm starts running so when you put the whole clause into a try/except block to go past the first iteration of error checking, you'll see that it actually doesn't fail in the actual algorithm run:

  try:  
      clf.fit(bigx, yclass2)  
      print "success"  
  except ValueError:  
      print "failure"  

Only "success" is printed out not "failure with this block of code.

Try it out and let me know what you think!

Seong

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Seong,
Your example works well for me.
It does exactly what I need.
Thanks!
Dan