Optimization failure: Fatal Python error: GC object already tracked #103
Comments
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The real error seems to be: What backtesting.py version is this, and have you tried master? |
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@kernc Backtesting==0.1.7 |
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@kernc I tried with __version__ 0.1.8.dev7+g0739f4b
/home/skywalker/PycharmProjects/untitled/test.py:64: UserWarning: Searching best of 486 configurations.
return_heatmap=False)
Traceback (most recent call last):
File "/home/skywalker/PycharmProjects/untitled/test.py", line 64, in <module>
return_heatmap=False)
File "/home/skywalker/PycharmProjects/untitled/venv/lib/python3.7/site-packages/Backtesting-0.1.8.dev7+g0739f4b-py3.7.egg/backtesting/backtesting.py", line 846, in optimize
batch_index, values = future.result()
File "/usr/lib/python3.7/concurrent/futures/_base.py", line 428, in result
return self.__get_result()
File "/usr/lib/python3.7/concurrent/futures/_base.py", line 384, in __get_result
raise self._exception
concurrent.futures.process.BrokenProcessPool: A process in the process pool was terminated abruptly while the future was running or pending.
Process finished with exit code 1 |
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Well, the relevant traceback above ( backtesting.py/backtesting/backtesting.py Line 900 in 0739f4b What pandas version is that? Have you tried upgrading or downgrading pandas? |
pandas~=1.0.4 |
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The examples are covered in tests which do seem to pass without error, occasionally. |
kernc
changed the title
kernc
added
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@kernc Closing this issue as I figured out the correct way of doing it. This issue #90 helped! from backtesting import Backtest, Strategy
from backtesting.lib import crossover
from backtesting.test import SMA, GOOG, EURUSD
class Sma4Cross(Strategy):
n1 = 50
n2 = 100
n_enter = 20
n_exit = 10
def init(self):
self.sma1 = self.I(SMA, self.data.Close, self.n1)
self.sma2 = self.I(SMA, self.data.Close, self.n2)
self.sma_enter = self.I(SMA, self.data.Close, self.n_enter)
self.sma_exit = self.I(SMA, self.data.Close, self.n_exit)
def next(self):
if not self.position:
# On upwards trend, if price closes above
# "entry" MA, go long
# Here, even though the operands are arrays, this
# works by implicitly comparing the two last values
if self.sma1 > self.sma2:
if crossover(self.data.Close, self.sma_enter):
self.buy()
# On downwards trend, if price closes below
# "entry" MA, go short
else:
if crossover(self.sma_enter, self.data.Close):
self.sell()
# But if we already hold a position and the price
# closes back below (above) "exit" MA, close the position
else:
if (self.position.is_long and
crossover(self.sma_exit, self.data.Close)
or
self.position.is_short and
crossover(self.data.Close, self.sma_exit)):
self.position.close()
def prepare_optimization(cls: type) -> dict:
# Construct and return optimization kwargs
return {'n1': range(5, 30, 5),
'n2': range(10, 70, 5),
'n_enter': range(15, 35, 5),
'n_exit': range(10, 25, 5),
'constraint': lambda p: p.n_exit < p.n_enter < p.n1 < p.n2,
'maximize': 'Equity Final [$]'}
if __name__ == '__main__':
bt = Backtest(GOOG, Sma4Cross, commission=.002)
opt_kwargs = prepare_optimization(Sma4Cross)
stats, heatmap = bt.optimize(**opt_kwargs, return_heatmap=True)
print(stats)
print('*'*50)
print(heatmap)
print('*'*50)
print(heatmap.sort_values().iloc[-3:])
print('*'*50)
hm = heatmap.groupby(['n1', 'n2']).mean().unstack()
print(hm)
print('*'*50)
from backtesting.lib import plot_heatmaps
plot_heatmaps(heatmap, agg='mean')
# bt.plot() |
This is the same code from the
doc > examplesfor parameter optimizationdoc/examples/Parameter Heatmap.ipynbRunning the above code results in BrokenProcessPool @kernc any ideas on what's wrong
P.S: Running Ubuntu 20.04 LTS / Python 3.7
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