Can't use empyrial function when specifying rebalance #118

teegin-g · 2023-11-30T19:54:23Z

Describe the bug
When I specify the rebalance parameter when creating a portfolio object, the empyrial function will return
"ValueError: The truth value of a DataFrame is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all()."

To Reproduce

I define portfolio as such
from empyrial import empyrial, Engine
import pandas as pd
portfolio = Engine(
start_date = "2018-08-01",
portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"],
optimizer = "EF", # rebalance every year
rebalance = '1y'
)
I run the empyrial function and it returns an error.
empyrial(portfolio)

ValueError Traceback (most recent call last)
Cell In[39], line 1
----> 1 empyrial(portfolio)

File ~\anaconda3\envs\myenv\lib\site-packages\empyrial\main.py:192, in empyrial(my_portfolio, rf, sigma_value, confidence_value, report, filename)
191 def empyrial(my_portfolio, rf=0.0, sigma_value=1, confidence_value=0.95, report=False, filename="empyrial_report.pdf"):
--> 192 if my_portfolio.rebalance != None:
193 # we want to get the dataframe with the dates and weights
194 rebalance_schedule = my_portfolio.rebalance
196 columns = []

File ~\anaconda3\envs\myenv\lib\site-packages\pandas\core\generic.py:1527, in NDFrame.nonzero(self)
1525 @Final
1526 def nonzero(self) -> NoReturn:
-> 1527 raise ValueError(
1528 f"The truth value of a {type(self).name} is ambiguous. "
1529 "Use a.empty, a.bool(), a.item(), a.any() or a.all()."
1530 )

ValueError: The truth value of a DataFrame is ambiguous. Use a.empty, a.bool(), a.item(), a.any() or a.all().

Expected behavior
However, when I remove the rebalance parameter, I get the expected output: metrics, graphs, everything, ex:
from empyrial import empyrial, Engine
import pandas as pd
portfolio = Engine(
start_date = "2018-08-01",
portfolio = ["BABA", "PDD", "KO", "AMD","^IXIC"],
optimizer = "EF"
)
empyrial(portfolio)

Other details
I found that if I modify this part:
if my_portfolio.rebalance != None: [...]
to
if isinstance(my_portfolio.rebalance, pd.DataFrame): [...]
It seems to work properly?

I'm running this via dataspell in an anaconda environment (2.5.0) on a windows PC.
I'm an economics student and this is my first github post so let me know if you need any additional information

santoshlite · 2023-12-06T00:19:37Z

Sorry for the late reply, I'll try your suggestion to see if it works and don't break anything else and publish a new version solving this in the coming days. Thanks for pointing this out :)

pabloatb · 2024-02-07T23:33:48Z

Hi, is there any update on this error? Let me know if there's something I can help with.
Thanks.

santoshlite · 2024-02-08T01:29:48Z

Hey sorry for that! I just released a new version (v2.1.4), which should fix that, keep me posted on how it goes :)

pabloatb · 2024-02-08T01:41:12Z

Great! that one is fixed but now I get: 'Series' object has no attribute 'append'

---------------------------------------------------------------------------
AttributeError                            Traceback (most recent call last)
~\AppData\Local\Temp\ipykernel_21060\3247741463.py in ?()
----> 1 empyrial(portfolio_EF)
      2 sharpe_ratios.append(empyrial.SR)

~\anaconda3\envs\GCPortfolio\Lib\site-packages\empyrial\main.py in ?(my_portfolio, rf, sigma_value, confidence_value, report, filename)
    228                 end_date=dates[i + 1],
    229             )
    230 
    231             # then append those returns
--> 232             returns = returns.append(add_returns)
    233     else:
    234       if not my_portfolio.data.empty:
    235               returns = get_returns_from_data(my_portfolio.data, my_portfolio.weights, my_portfolio.portfolio)

~\anaconda3\envs\GCPortfolio\Lib\site-packages\pandas\core\generic.py in ?(self, name)
   6200             and name not in self._accessors
   6201             and self._info_axis._can_hold_identifiers_and_holds_name(name)
   6202         ):
   6203             return self[name]
-> 6204         return object.__getattribute__(self, name)

AttributeError: 'Series' object has no attribute 'append'

What pandas version should I use? I have pandas 2.1.3 now

Thanks!

santoshlite · 2024-02-08T02:30:14Z

Would it be possible to share the the code you are running so I can try to reproduce the error

pabloatb · 2024-02-08T09:43:05Z

Here's the code: Portfolio Optimization Methods.zip
If you get an error with yahoo finance, make sure that you have the last version.
The error is in the section shown in the image

Thanks for your help

santoshlite · 2024-03-04T23:00:42Z

Hey, sorry for the delay. It should work if you run the same code in the same cell as the one in which you declare the portfolio_EF. This happens because your portfolio weights and other parameters are changed at the end of running empyrial(portfolio_EF). Best, Santosh Passoubady [image: Mailtrack] <https://mailtrack.io?utm_source=gmail&utm_medium=signature&utm_campaign=signaturevirality11&> Sender notified by Mailtrack <https://mailtrack.io?utm_source=gmail&utm_medium=signature&utm_campaign=signaturevirality11&> 03/04/24, 05:58:04 PM

…

On Thu, Feb 8, 2024 at 4:43 AM pabloatb ***@***.***> wrote: Portfolio Optimization Methods.zip <https://github.com/ssantoshp/Empyrial/files/14207062/Portfolio.Optimization.Methods.zip> Here's the code, if you get an error with yahoo finance, make sure that you have the last version. The error is in the section shown in the image image.png (view on web) <https://github.com/ssantoshp/Empyrial/assets/26779858/7133492e-02b1-4fb4-b0c0-59d0354f9a2f> Thanks for your help — Reply to this email directly, view it on GitHub <#118 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AOWDTUNA3A3DGFB4KADLHRDYSSM3LAVCNFSM6AAAAABABXYY5WVHI2DSMVQWIX3LMV43OSLTON2WKQ3PNVWWK3TUHMYTSMZTGY4TOOJTGY> . You are receiving this because you commented.Message ID: ***@***.***>

pabloatb · 2024-03-12T17:44:40Z

Hi, thanks for your time.
You mean like this?

portfolio_EF = Engine(
    start_date = "2016-10-01",
    portfolio = ['ADBE', 'ANSS', 'ANET', 'BR', 'CDW', 'GLW', 'IPGP', 'KEYS', 'WDC', 'NVDA', 'NXPI', 'TRMB', 'ZBRA'],
    optimizer = "EF",
    rebalance = "1y",
)
empyrial(portfolio_EF)
sharpe_ratios.append(empyrial.SR)

Because doing that, still causes this error:
Rebalance schedule:
2017-10-01 00:00:00 2018-10-01 00:00:00 2019-10-01 00:00:00
ADBE 0.04655 0.11264 0.11729
ANSS 0.04353 0.08173 0.11210
ANET 0.17353 0.13630 0.11972
BR 0.02403 0.08218 0.07852
CDW 0.06073 0.07910 0.14752
GLW 0.03052 0.03671 0.00091
IPGP 0.19182 0.05190 0.02547
KEYS 0.03512 0.08483 0.16119
WDC 0.05574 0.00000 0.00000
NVDA 0.20995 0.19158 0.09095
NXPI 0.00901 0.00000 0.00000
TRMB 0.04534 0.02908 0.00478
ZBRA 0.07413 0.11395 0.14155

  2020-09-30 00:00:00  2021-09-30 00:00:00  2022-09-30 00:00:00  \

ADBE 0.16974 0.12269 0.05442
ANSS 0.12500 0.07639 0.05062
ANET 0.05074 0.07929 0.17202
BR 0.05531 0.05985 0.07340
CDW 0.08521 0.10311 0.13226
GLW 0.00000 0.00000 0.00000
IPGP 0.02253 0.00000 0.00000
KEYS 0.10801 0.12894 0.18217
WDC 0.00000 0.00000 0.00000
NVDA 0.24619 0.21034 0.19938
NXPI 0.00000 0.00000 0.00000
TRMB 0.00894 0.05285 0.01776
ZBRA 0.12832 0.16655 0.11797

  2023-09-30 00:00:00  2024-03-12

ADBE 0.10037 0.08380
ANSS 0.05270 0.04566
ANET 0.17649 0.18267
BR 0.07408 0.06980
CDW 0.12296 0.11972
GLW 0.00000 0.00000
IPGP 0.00000 0.00000
KEYS 0.09923 0.08951
WDC 0.00000 0.00000
NVDA 0.31647 0.34503
NXPI 0.00000 0.00764
TRMB 0.00000 0.00000
ZBRA 0.05771 0.05618

AttributeError Traceback (most recent call last)
~\AppData\Local\Temp\ipykernel_5284\500546861.py in ?()
3 portfolio = ['ADBE', 'ANSS', 'ANET', 'BR', 'CDW', 'GLW', 'IPGP', 'KEYS', 'WDC', 'NVDA', 'NXPI', 'TRMB', 'ZBRA'],
4 optimizer = "EF",
5 rebalance = "1y",
6 )
----> 7 empyrial(portfolio_EF)
8 sharpe_ratios.append(empyrial.SR)
9 #portfolio_EF.weights

~\anaconda3\envs\GCPortfolio\Lib\site-packages\empyrial\main.py in ?(my_portfolio, rf, sigma_value, confidence_value, report, filename)
228 end_date=dates[i + 1],
229 )
230
231 # then append those returns
--> 232 returns = returns.append(add_returns)
233 else:
234 if not my_portfolio.data.empty:
235 returns = get_returns_from_data(my_portfolio.data, my_portfolio.weights, my_portfolio.portfolio)

~\anaconda3\envs\GCPortfolio\Lib\site-packages\pandas\core\generic.py in ?(self, name)
6200 and name not in self._accessors
6201 and self._info_axis._can_hold_identifiers_and_holds_name(name)
6202 ):
6203 return self[name]
-> 6204 return object.getattribute(self, name)

AttributeError: 'Series' object has no attribute 'append'

pabloatb · 2024-03-15T13:23:33Z

Nevermind, with python 3.10 and this packages works great. Thanks again

bta-lib==1.0.0
empyrial==2.1.4
pandas==1.5.3
numpy==1.25.2
matplotlib==3.7.1
scipy==1.11.4
yfinance==0.2.37
quantstats==0.0.62
python-dateutil==2.8.2
pytz==2023.4
kiwisolver==1.4.5
pyparsing==3.1.2
sklearn-pandas==2.2.0

santoshlite closed this as completed Mar 4, 2024

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

Can't use empyrial function when specifying rebalance #118

Can't use empyrial function when specifying rebalance #118

teegin-g commented Nov 30, 2023

santoshlite commented Dec 6, 2023

pabloatb commented Feb 7, 2024

santoshlite commented Feb 8, 2024

pabloatb commented Feb 8, 2024 •

edited

Loading

santoshlite commented Feb 8, 2024

pabloatb commented Feb 8, 2024 •

edited

Loading

santoshlite commented Mar 4, 2024 via email

pabloatb commented Mar 12, 2024

pabloatb commented Mar 15, 2024

Can't use empyrial function when specifying rebalance #118

Can't use empyrial function when specifying rebalance #118

Comments

teegin-g commented Nov 30, 2023

santoshlite commented Dec 6, 2023

pabloatb commented Feb 7, 2024

santoshlite commented Feb 8, 2024

pabloatb commented Feb 8, 2024 • edited Loading

santoshlite commented Feb 8, 2024

pabloatb commented Feb 8, 2024 • edited Loading

santoshlite commented Mar 4, 2024 via email

pabloatb commented Mar 12, 2024

ADBE 0.10037 0.08380 ANSS 0.05270 0.04566 ANET 0.17649 0.18267 BR 0.07408 0.06980 CDW 0.12296 0.11972 GLW 0.00000 0.00000 IPGP 0.00000 0.00000 KEYS 0.09923 0.08951 WDC 0.00000 0.00000 NVDA 0.31647 0.34503 NXPI 0.00000 0.00764 TRMB 0.00000 0.00000 ZBRA 0.05771 0.05618

pabloatb commented Mar 15, 2024

pabloatb commented Feb 8, 2024 •

edited

Loading

pabloatb commented Feb 8, 2024 •

edited

Loading

ADBE 0.10037 0.08380
ANSS 0.05270 0.04566
ANET 0.17649 0.18267
BR 0.07408 0.06980
CDW 0.12296 0.11972
GLW 0.00000 0.00000
IPGP 0.00000 0.00000
KEYS 0.09923 0.08951
WDC 0.00000 0.00000
NVDA 0.31647 0.34503
NXPI 0.00000 0.00764
TRMB 0.00000 0.00000
ZBRA 0.05771 0.05618