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Bayesian Tear sheet error
alfred aita
posted Nov 11, 2016
Seeking Help Machine Learning Show Q Research

I created an SVM model (regression) . When running create_full_tear _sheet() it seems to run without errors.
However when running create_bayesian_tear_sheet(live_start_date = " 2014-01-01")
I get the following error at the end:

PositiveDefiniteError: Scaling is not positive definite. Simple check failed. Diagonal contains negatives. Check indexes [1]``

Note : I used my scaling of factors and features. Negative's are shorts positives are longs.

Could this be the problem?
I figured I would ask b4 tinkering.

1 response
Dan Dunn
Nov 14, 2016

Hello Alfred, I don't know what's going wrong from the description so far. I ran a bayesian tear sheet just to make sure they are working, and it did work for me. It will require additional information to figure out why it's not working for yours.

Sorry you're having a problem.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.