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Hi! Currently by default, the benchmark is plotted on a different window from the strategy equity. I'm trying to make it so that the benchmark performance is overlayed on the strategy equity instead of being plotted separately.
To start, I tried out the idea from this post.
By cloning the attached algorithm in the post above, the function worked just fine, but when I applied it to another algorithm that uses a technical indicator, I encounter an error:
:: self.benchmarkValue = (currentBenchmarkPrice / self.initBenchmarkPrice) * self.initBenchmarkCash
ZeroDivisionError : float division by zero
It shouldn't be dividing by zero, so I'm not sure why the algorithm is doing this. I attached the algorithm I tried to apply the function on to this post; I had to comment out the self.plot in OnData in order to generate a backtest.
Thanks!
Vncne
I noticed that if I removed self.SetWarmUp in Initialize, it seems to work fine, but obviously SetWarmUp is going to be needed..
Frank Giardina
Vncne,
I copied this code from the thread from the In-Out strategy algo that some ex Quantopian folks created. It works well for me
in the Initalize place this
self.spy_chart = [] #use to hold the values for plotting
self.MRKT = self.AddEquity('SPY', Resolution.Daily).Symbol #this is the symbol we are using as the market
in the OnData place this
self.plot_market()
def plot_market(self): #plot the market on the Startegy Equity Chart with your portfolio
hist = self.History([self.MRKT] , 252, Resolution.Daily)['close'].unstack(level=0).dropna()
self.spy_chart.append(hist[self.MRKT].iloc[-1])
spy_perf = self.spy_chart[-1] / self.spy_chart[0] * self.cap
self.Plot("Strategy Equity", "SPY", spy_perf)
Vncne
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