Scipy 优化 Brute Valueerror 无法重塑数组

问题描述

嗨，我正在学习如何编写自动交易系统的代码，但在尝试使用 Scipy Optimize Brute 时遇到了一些问题

import pandas as pd
import numpy as np

from pandas_datareader import data as pdr
import yfinance as yf
yf.pdr_override()
from scipy.optimize import brute


data = pdr.get_data_yahoo("GOOG",interval = "5m",period = "1mo")


def run_strategy(boll):
    
    close = data.drop(columns = ['Open','High','Low','Adj Close','Volume'],axis =1)

    close["returns"] = np.log(close.div(close.shift(1)))
    close.dropna(inplace =True)

    close["SMA"] = close["Close"].rolling(boll[0]).mean()

    close["Lower"] = close["SMA"] - close["Close"].rolling(boll[0]).std()*boll[1]
    close["Upper"] = close["SMA"] + close["Close"].rolling(boll[0]).std()*boll[1]

    data.dropna(inplace = True)

    close["distance"] = close.Close - close.SMA
    close["position"] = np.where(close.Close< close.Lower,1,np.nan)#over sold,go long
    close["position"] = np.where(close.Close> close.Lower,-1,close["position"])#overbought,go short

    #go neutral 
    close["position"] = np.where(close.distance*  close.distance.shift(1) <0,close["position"])#crossing SMA,go neutral

    close.position = close.position.ffill().fillna(0)
    close.position.value_counts()


    close["strategy"] = close.position.shift(1) * close["returns"]
    close.dropna(inplace = True)

    return close[["returns","strategy"]].sum().apply(np.exp)



brute(run_strategy,((20,100,1),(1,5,1)),finish = None)

我得到的错误是

Traceback (most recent call last):
  File "<pyshell#24>",line 1,in <module>
    brute(run_strategy,finish = None)
  File "C:\Program Files\python39\lib\site-packages\scipy\optimize\optimize.py",line 3234,in brute
    Jout = np.reshape(Jout,inpt_shape[1:])
  File "<__array_function__ internals>",line 5,in reshape
  File "C:\Users\TYS\AppData\Roaming\Python\python39\site-packages\numpy\core\fromnumeric.py",line 299,in reshape
    return _wrapfunc(a,'reshape',newshape,order=order)
  File "C:\Users\TYS\AppData\Roaming\Python\python39\site-packages\numpy\core\fromnumeric.py",line 58,in _wrapfunc
    return bound(*args,**kwds)
ValueError: cannot reshape array of size 640 into shape (80,4)

任何关于如何使用 scipy.optimize brute 的帮助都会很棒

我使用的是 Python 3.9、Windows 10 和 Scipy 1.5.4

我已经用 brute 测试了一些基本的代码示例，它似乎有效，所以不确定为什么在这种情况下它不起作用。

谢谢

解决方法

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python-3.x scipy scipy scipy-optimize