Custom factor TAlib array problems

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edited May 12, 2016

I'm trying to make a really simple pipeline custom factor that returns linear regression over a windowperiod of time for each security in the input.

My current code keeps giving back array index errors. I feel there's probably a better/easier way to do this?

class LinearReg_slope(CustomFactor):  
    #linear regression slope  
    inputs = [USEquityPricing.close]  
    window_length = 50  
    def compute(self, today, asset_ids, out, Prices):  
        #get amount of columns in the numpy input array:  
        rows, columns = Prices.shape  
        #Feed each column of the array to the talib function that takes a 1D array  
        for i in range(0, columns):  
            out[i:] = talib.LINEARREG_SLOPE(Prices[i,:], rows-1)[-1]

The error I get is: IndexError: index 50 is out of bounds for axis 0 with size 50

When I simply do this:
out[:] = talib.LINEARREG_SLOPE(Prices, 49)

I get an "AssertionError: real has wrong dimensions" on a completely different line of code which is not very helpful.

1 response

Gee Mee

May 18, 2016

I fixed the issues, but I'm now having a different error when backtesting :(

The fix:

class LinearReg_slope(CustomFactor):  
    #linear regression slope  
    inputs = [USEquityPricing.close]  
    window_length = 50  
    def compute(self, today, asset_ids, out, Prices):  
        #get amount of columns in the numpy input array:  
        rows, columns = Prices.shape  

        lin_slope_list = []  
        for i in range(0, columns):  

            if pd.notnull(Prices[:,i]).all():  
                lin_slope_list.append(talib.LINEARREG_SLOPE(Prices[:,i], 49)[-1])  
            else:  
                lin_slope_list.append(0)  
        out[:] = lin_slope_list

The new problem/error when backtesting: TimeoutException: Call to before_trading_start timed out

Does this mean my code is blocking infinitely (don't think so) or is the TA function simply taking too long to process?

//Update: I only got the above error a couple of times and it inexplicably vanished after a few tries. So probably not a bug in my code?

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