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Trying to create tear sheet from backtest - NoSuchSymbols: Failed to find securities matching []


I am trying to create a tear sheet for a backtest I ran and I am getting the following exception:

NoSuchSymbols: Failed to find securities matching []

Attached notebook.


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5 responses


Hi Nikita,
Would you mind verifying that your algorithm made both positions and transactions? You can do this by printing these outputs a new cell in your notebook:

print bt.pyfolio_transactions.head()  
print bt.pyfolio_positions.head()  

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Thanks for the reply, here it is:

Loading notebook preview...

Hi Nikita,
Thanks for getting back. I'll have to dig into this further, but it looks like your algorithm is not holding any positions end-of-day. Since you have estimate_intraday=True, we should be attempting to to take your positions mid-day instead of end-of-day. There is a failure, however, because it's trying to look up a blank list of symbols, due to the blank end-of-day positions.

One possible fix might be to hold a very small amount of a stock end-of-day continuously. You'd want to choose something that hardly moves at all so it doesn't affect your algorithm, so maybe one share of a treasury bond ETF like GOVT. Let me know if this works for you, and sorry for the inconvenience.

Is there a solution to this yet?

Holding 1 share of something stable isn't solving this for me.