Kalman filtering for futures ?

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Kalman filtering for futures ?

posted

Hello.....new member here and while 30 year veteran of finance, my coding skills are VERY rusty....

I have taken interest in the attached Kalman filter algo...I have added futures symbols in the algo where there were previously stocks. The backtest gives me the error below.......I'm hoping that this is a simple fix, but at this moment, its above my knowledge base. Any help in getting this debugged to run futures would be greatly appreciated.

There was a runtime error.
AttributeError:'zipline.assets.continuous_futures.ContinuousFuture' object has no attribute 'symbol'
Line: 83 inname
return "{}~{}".format(self._y.symbol, self._x.symbol)

The original algo came from cloning the one in this link https://www.quantopian.com/posts/quantopian-lecture-series-kalman-filters but again, the only thing I did was to replace stocks with futures.....

1 response

Hello,

ContinuousFutures don't have a symbol attribute. So just replace

return "{}~{}".format(self._y.symbol, self._x.symbol)

by

return "{}~{}".format(self._y, self._x)

That's all !

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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.