Code Library - "Part 5 Moonshot Backtest" MultiIndex Error

Technical Help
#1

I'm attempting to run the Moonshot Intro "Part 5 - Moonshot Backtest" notebook but I'm receiving the following MultiIndex Error.

---------------------------------------------------------------------------
HTTPError                                 Traceback (most recent call last)
Cell In[16], line 2
      1 from quantrocket.moonshot import backtest
----> 2 backtest("umd-demo", start_date="2019-01-01", end_date="2020-01-01", filepath_or_buffer="umd_moonshot_results.csv")

File /opt/conda/lib/python3.11/site-packages/quantrocket/moonshot.py:190, in backtest(strategies, start_date, end_date, segment, allocations, nlv, params, details, output, filepath_or_buffer, no_cache)
    185     _params["no_cache"] = no_cache
    187 response = houston.post("/moonshot/backtests.{0}".format(output),
    188                         params=_params, timeout=60*60*24)
--> 190 houston.raise_for_status_with_json(response)
    192 filepath_or_buffer = filepath_or_buffer or sys.stdout
    193 write_response_to_filepath_or_buffer(filepath_or_buffer, response)

File /opt/conda/lib/python3.11/site-packages/quantrocket/houston.py:225, in Houston.raise_for_status_with_json(response)
    223     e.json_response = {}
    224     e.args = e.args + ("please check the logs for more details",)
--> 225 raise e

File /opt/conda/lib/python3.11/site-packages/quantrocket/houston.py:217, in Houston.raise_for_status_with_json(response)
    212 """
    213 Raises 400/500 error codes, attaching a json response to the
    214 exception, if possible.
    215 """
    216 try:
--> 217     response.raise_for_status()
    218 except requests.exceptions.HTTPError as e:
    219     try:

File /opt/conda/lib/python3.11/site-packages/requests/models.py:1021, in Response.raise_for_status(self)
   1016     http_error_msg = (
   1017         f"{self.status_code} Server Error: {reason} for url: {self.url}"
   1018     )
   1020 if http_error_msg:
-> 1021     raise HTTPError(http_error_msg, response=self)

HTTPError: ('400 Client Error: BAD REQUEST for url: http://houston/moonshot/backtests.csv?strategies=umd-demo&start_date=2019-01-01&end_date=2020-01-01', {'status': 'error', 'msg': "Only valid with DatetimeIndex, TimedeltaIndex or PeriodIndex, but got an instance of 'MultiIndex' (see detailed logs for full traceback)"})

The only change I made in the Code Library Example "umd.py" file is the Database and Universe.

class UpMinusDownDemo(UpMinusDown):

    CODE = "umd-demo"
    DB = "usstock-1min"
    UNIVERSES = "nq100cal"
    TOP_N_PCT = 50
    COMMISSION_CLASS = USStockCommission

The DB is a Zipline Bundle which I see from other case notes previously created problems with MultiIndex Errors when using Moonshot but I understand that was corrected with the QuantRocket 2.6 release.

Any guidance would be appreciated.

Thanks.

#2

The demo strategy uses daily data but you've pointed it to a minute bundle, which isn't a drop-in replacement. You can either add DB_DATA_FREQUENCY = 'daily' to use daily data from the minute bundle, or you can adapt the strategy to work with minute data. Working with intraday data is discussed here or you can look at other intraday Moonshot strategies for examples.

1 Like
#3

Thank you!