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unable to use optimise api


i tweaked the optimise api example a bit and am hitting a runtime error. Can someone tell me what this error means and how to fix it?



ValueError: NaN or Inf values provided to MaximizeAlpha for argument 'alphas'. Keys with NaNs: Equity(21036 [AMRN]), Equity(27000 [KUTV]), Equity(46004 [CQH]), Equity(49116 [ELEC_U]), Equity(49238 [SRG]), Equity(49334 [ELEC]), Equity(5281 [NEN]) Keys with Infs: None There was a runtime error on line 175.

Clone Algorithm
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
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
# Backtest ID: 59d62cf9fd81165445054e1d
There was a runtime error.
1 response

I think the error there is telling it like it is: you have items with NaN in the objective of your optimize. Optimize requires you to not have NaN as an objective.

There are two ways to think about working around this. One way is to say "eh, anything with NaN is garbage, just throw it away." In that case, you can just drop NaN from your pipeline output before you pass it into optimize. The other way to look at it is to say "huh, I wonder if my pipeline is generating what I thought it was? There shouldn't be any NaNs!" For that, I recommend using research. I put your pipeline into this research notebook, and as you can see, it generates a lot of NaNs.

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