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Added ValueError fix from Issue #6 and KeyError fix from Issue #8 #10

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Added ValueError fix from Issue #6 and KeyError fix from Issue #8 #10

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5 changes: 4 additions & 1 deletion elegant_finrl/env.py
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Original file line number Diff line number Diff line change
Expand Up @@ -8,6 +8,7 @@
from pyfolio import timeseries
import pyfolio
from copy import deepcopy
from datetime import datetime

class StockTradingEnv:
def __init__(self, cwd='./envs/FinRL', gamma=0.99,
Expand Down Expand Up @@ -197,6 +198,8 @@ def get_date(path, start, end, ticker_list):
ticker_list=ticker_list, ).fetch_data()
raw_df.to_pickle(path)
print("| YahooDownloader: finish processing date list")
raw_df["date"] = pd.to_datetime(raw_df.date)
raw_df = raw_df[raw_df.date >= datetime.strptime(start, "%Y-%m-%d")]
return raw_df.date.unique()

@staticmethod
Expand Down Expand Up @@ -275,7 +278,7 @@ def get_daily_return(df, value_col_name="account_value"):
df["date"] = pd.to_datetime(df["date"])
df.set_index("date", inplace=True, drop=True)
df.index = df.index.tz_localize("UTC")
return pd.Series(df["single-stock-baseline"], index=df.index)
return pd.Series(df["daily_return"], index=df.index)

def backtest_plot(self, account_value, baseline_start, baseline_end, baseline_ticker="^DJI"):
df = deepcopy(account_value)
Expand Down