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Description
When I run this from the examples:
python portfolio_manager.py --is_test 1 --future_bars 90 --data_granularity_minutes 3600 --history_to_use all --apply_noise_filtering 1 --market_index QQQ --only_long 1 --eigen_portfolio_number 3 --stocks_file_path stocks/stocks.txt
I get:
Traceback (most recent call last):
File "portfolio_manager.py", line 37, in
main()
File "portfolio_manager.py", line 33, in main
eiten.run_strategies()
File "/Users/matt/Desktop/eiten-master/eiten.py", line 118, in run_strategies
returns_matrix)
File "/Users/matt/Desktop/eiten-master/strategy_manager.py", line 59, in random_matrix_theory_based_cov
filtered_covariance_matrix = self.strategyHelperFunctions.random_matrix_theory_based_cov(returns_matrix)
File "/Users/matt/Desktop/eiten-master/strategies/strategy_helper_functions.py", line 18, in random_matrix_theory_based_cov
variances = np.diag(np.cov(returns_matrix))
File "<array_function internals>", line 6, in diag
File "/Users/matt/opt/anaconda3/lib/python3.7/site-packages/numpy/lib/twodim_base.py", line 283, in diag
raise ValueError("Input must be 1- or 2-d.")
ValueError: Input must be 1- or 2-d.
I used this just yesterday to do an analysis with no problem. Also, I looked at the other issue in the list that said maybe there's some issue with a stock picked in stocks.txt, so picked two stocks (AAPL and BA) to check if that could be it and it still causes an error.