Python ZIPLINE :_RunAlgoError: No `` benchmark_spec `` was provided, and ` `zipline. api.set_benchmark `` was not called in ``初始化``

Question

这是我的第一个问题，请原谅我的错误我一直在阅读 Andreas Clenow 的《Trading Evolved》，这是一本关于使用 Python 进行回测和金融的书这是我收到的代码和错误

%matplotlib inline

# Import Zipline functions that we need
from zipline import run_algorithm
from zipline.api import order_target_percent, symbol

# Import date and time zone libraries
from datetime import datetime
import pytz
import pandas as pd

# Import visualization
import matplotlib.pyplot as plt


def initialize(context):
    # Which stock to trade
    context.stock = symbol('AAPL')
    
    # Moving average window
    context.index_average_window = 100
    
def handle_data(context, data):
    # Request history for the stock
    equities_hist = data.history(context.stock, "close", 
                                 context.index_average_window, "1d")
    
    # Check if price is above moving average
    if equities_hist[-1] > equities_hist.mean():
        stock_weight = 1.0
    else:
        stock_weight = 0.0
    
    # Place order
    order_target_percent(context.stock, stock_weight)

def analyze(context, perf):
    fig = plt.figure(figsize=(12, 8))
    
    # First chart
    ax = fig.add_subplot(311)
    ax.set_title('Strategy Results')
    ax.semilogy(perf['portfolio_value'], linestyle='-', 
                label='Equity Curve', linewidth=3.0)
    ax.legend()
    ax.grid(False)
    
    # Second chart
    ax = fig.add_subplot(312)
    ax.plot(perf['gross_leverage'], 
            label='Exposure', linestyle='-', linewidth=1.0)
    ax.legend()
    ax.grid(True)

    # Third chart
    ax = fig.add_subplot(313)
    ax.plot(perf['returns'], label='Returns', linestyle='-.', linewidth=1.0)
    ax.legend()
    ax.grid(True)

# Set start and end date
#start_date = datetime(1996, 1, 1, tzinfo=pytz.UTC)
#end_date = datetime(2018, 12, 31, tzinfo=pytz.UTC)
#start_date = pd.to_datetime('1996-1-1', utc=True)
#end_date = pd.to_datetime('2018-12-31', utc=True)
start_date = pd.to_datetime('1996-1-1', utc=True)
end_date = pd.to_datetime('2018-12-31', utc=True)


# Fire off the backtest
results = run_algorithm(
    start=start_date, 
    end=end_date, 
    initialize=initialize, 
    analyze=analyze, 
    handle_data=handle_data, 
    capital_base=10000, 
    data_frequency = 'daily', bundle='quandl' 
) 

我收到的错误是这样的

NoBenchmark Traceback (most recent call last)_RunAlgoError: No benchmark_spec was provided, and zipline.api.set_benchmark was not called in initialize.

提前致谢

Answer 1

我遇到了同样的问题，对我有用的是将 initialize() 中的基准设置为 False(您必须从 zipline.api 导入 set_benchmark )

def initialize(context):
    # Which stock to trade
    context.stock = symbol('AAPL')
    
    # Moving average window
    context.index_average_window = 100

    set_benchmark(False)