TypeError in MaximizeAlpha()

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TypeError in MaximizeAlpha()

posted

Portfolio Optimization

I know someone asked this question before and it turned out that his problem was with divide by zero or empty series passed in.

In my case, I pass a Non-empty series of float type and get this error: "TypeError: MaximizeAlpha() expected a value with dtype 'float64' or 'int64' for argument 'alphas', but got 'object' instead." . then I tried to replace (any) inf with nan and dropna, that did not fix the problem.

I added log to see what happended:
try:
objective = opt.MaximizeAlpha(alpha)
except:
log.info('MaximizeAlpha exception')
log.info(alpha)
return

here is the log:
2014-05-05 09:35 do_portfolio_construction:191 INFO MaximizeAlpha exception
2014-05-05 09:35 do_portfolio_construction:192 INFO
Equity(43721 [SCTY]) 9.45685
Equity(41579 [P]) 2.63471
Equity(42118 [GRPN]) 2.46888
Equity(44747 [DATA]) 1.52521
Equity(42230 [TRIP]) 1.24
Equity(39840 [TSLA]) 0.95456
Equity(42788 [PSX]) 0.940191
Equity(39095 [CHTR]) 0.868083
Equity(13711 [PCYC]) 0.852267
Equity(32301 [CTRX]) 0.80803
Equity(43405 [KRFT]) 0.786578
Equity(168 [AET]) 0.685958
Equity(26892 [HLF]) 0.666981
Equity(38650 [AVGO]) 0.624734
Equity(28016 [CMG]) 0.506531
Equity(3620 [HFC]) 0.499281
Equity(20208 [FFIV]) 0.391471
Equity(33698 [TMUS]) 0.351509
Equity(4799 [CVS]) 0.333276
Equity(23021 [ECA]) 0.278887
Equity(6119 [PPL]) 0.27836
Equity(1539 [CI]) 0.262415
Equity(24475 [CME]) 0.253666
Equity(7792 [UNH]) 0.252637
Equity(20541 [RHT]) 0.250401
Equity(7684 [TSN]) 0.233789
Equity(7244 [SWN]) 0.21916
Equity(21448 [SINA]) 0.212618
Equity(9736 [GMCR]) 0.210744
Equity(27809 [ICE]) 0.202887
...

2 responses

For some reason, the alpha I passed in was not what I expected to be a series. So I make the conversion into float64 now.

JIAN XIANG CHUA

Have you rectified the issue? And how? I am stuck with the same error as well :(

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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.