Runtime Error During Backtest

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Runtime Error During Backtest

posted

Hi all,

I've formulated my own factor which looks quite promising to me (Risk adjusted IC 0.17 - 0.18 (1d -5d) , with annual alpha 0.083 - 0.057 (1d - 5d)) and I'd like to dig deeper into its potential value. Going further with the analysis I've taken the Long-Short Equity Algo from the Lecture Sample (I think lecture 37).

After building the algo and running for the first 5 months (starting on 01/01/2007), the algo stops due to runtime error on line 282:

 # Add the RiskModelExposure constraint to make use of the  
    # default risk model constraints  
    neutralize_risk_factors = opt.experimental.RiskModelExposure(  
        risk_model_loadings=risk_loadings,  
        version=0

With the error saying:

ValueError: NaN or Inf values provided to FactorExposure for argument 'loadings'.  
Rows/Columns with NaNs:  
row=Equity(33655 [HYG]) col='momentum'  
row=Equity(33655 [HYG]) col='short_term_reversal'  
row=Equity(33655 [HYG]) col='size'  
row=Equity(33655 [HYG]) col='value'  
row=Equity(33655 [HYG]) col='volatility'  
Rows/Columns with Infs:  
None  
There was a runtime error on line 282.

Any first guesses why this error pops up? I'm using the factset estimates dataset in the algo.

Thanks for your help!

Best Regards,
John

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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.