trying the hello world program - python errors

[andrewcz]

Hi ! Really love the framework and planning to get involved. was wanting to expand for a masters project. i am trying to run the hello world program and getting the following -

risk_model = cp.FullSigma(Sigma_hat) gamma_risk, gamma_trade, gamma_hold = 5., 1., 1. leverage_limit = cp.LeverageLimit(3)

spo_policy = cp.SinglePeriodOpt(return_forecast=r_hat, costs=[gamma_riskrisk_model, gamma_tradetcost_model, gamma_holdhcost_model], constraints=[leverage_limit]) risk_model = cp.FullSigma(Sigma_hat) gamma_risk, gamma_trade, gamma_hold = 5., 1., 1. leverage_limit = cp.LeverageLimit(3) ​ spo_policy = cp.SinglePeriodOpt(return_forecast=r_hat, costs=[gamma_riskrisk_model, gamma_tradetcost_model, gamma_holdhcost_model], constraints=[leverage_limit])

ValueError Traceback (most recent call last) in () 5 spo_policy = cp.SinglePeriodOpt(return_forecast=r_hat, 6 costs=[gamma_riskrisk_model, gamma_tradetcost_model, gamma_hold*hcost_model], ----> 7 constraints=[leverage_limit])

~/cvxportfolio/cvxportfolio/policies.py in init(self, return_forecast, costs, constraints, solver, solver_opts) 217 218 if not isinstance(return_forecast, BaseReturnsModel): --> 219 null_checker(return_forecast) 220 self.return_forecast = return_forecast 221

~/cvxportfolio/cvxportfolio/utils/data_management.py in null_checker(obj) 27 isinstance(obj, pd.DataFrame) or 28 isinstance(obj, pd.Series)): ---> 29 if np.any(pd.isnull(obj)): 30 raise ValueError('Data object contains NaN values', obj) 31 elif np.isscalar(obj):

~/tutorial-env2/lib/python3.6/site-packages/pandas/core/generic.py in nonzero(self) 1571 raise ValueError("The truth value of a {0} is ambiguous. " 1572 "Use a.empty, a.bool(), a.item(), a.any() or a.all()." -> 1573 .format(self.class.name)) 1574 1575 bool = nonzero

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

was wondering if you could assist. Best, Andrew

[ghost]

it looks like there are NaN values in the return forecast, could you inspect it? it could be an issue with the data source...

[andrewcz]

[andrewcz]

not sure whats going on.

[andrewcz]

so interesting, r_hat.all() seems to have worked? I'm not sure why and to be honest I am not sure if this is mathematically correct. How would could I find out? Best, Andrew

[ghost]

sorry but i can reproduce your error and i don't have enough information for understanding what's wrong. can you isolate the error in a (short) python script and post it here?

[andrewcz]

Hi Enzo, Champion! Its probably my mistake. Will try it again tonight with updated packages. Many thanks Best, Andrew

[andrewcz]

Hi Enzo! So i have updated pandas and everything looks like its working. however, on the real-time optimization example, I get the following error -

Best, Andrew

[andrewcz]

[ghost]

(1) take away the .shift(…) method, it’s not important (and maybe got broken by a pandas update)

(2) AlphaSource was the old name of ReturnForecast, please double check (it’s possible that the solutiontime example hasn’t been updated in a long time)

good luck!

On 22 Aug 2018, at 04:29, andrewcz [email protected] wrote:

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