QuantXのエラー「Exception inputs are all NaN」について

前提・実現したいこと

QuantXで金融危機時にだけ、エラーが出てしまって、バックテストができません。

QuantX環境でしか動かないと思います。

たぶん、talibのエラーだと思ってます。

https://factory.quantx.io/developer/0dff7264342c4f4188e231a6d26774cd

発生している問題・エラーメッセージ

ERROR14:33:54Exception inputs are all NaN

ERROR14:33:54/opt/work/user.py in _MACD(data)
     65     for (sym, val) in cp.items():
     66       
---> 67       bas[sym] = ta.EMA(cp[sym].values.astype(np.double), timeperiod=12)
     68       rel[sym] = ta.EMA(cp[sym].values.astype(np.double), timeperiod=26)
     69       MACD = bas - rel

該当のソースコード

python
1############################################################################
2############################################################################
3# macd
4import numpy as np
5import pandas as pd
6import talib as ta
7
8
9def initialize(ctx):
10  # 設定
11  ctx.logger.debug("initialize() called")
12  ctx.configure(
13      channels={  # 利用チャンネル
14          "jp.stock": {
15              "symbols": [
16                  "jp.stock.2914",  #
17                  "jp.stock.8766",  #
18                  "jp.stock.8031",  #
19                  "jp.stock.8411",  #
20                  "jp.stock.8316",  #
21                  "jp.stock.9437",  #
22                  "jp.stock.4502",  #
23                  "jp.stock.8058",  #
24                  "jp.stock.9432",  #
25                  "jp.stock.8306",  #
26                  "jp.stock.9433",  #
27                  "jp.stock.7267",  #
28                  "jp.stock.7974",  #
29                  "jp.stock.4503",  #
30                  "jp.stock.4063",  #
31                  "jp.stock.3382",  #
32                  "jp.stock.6981",  #
33                  "jp.stock.4452",  #
34                  "jp.stock.9020",  #
35                  "jp.stock.8802",  #
36                  "jp.stock.6098",  #
37                  "jp.stock.6758",  #
38                  "jp.stock.9022",  #
39                  "jp.stock.9984",  #
40                  "jp.stock.6501",  #
41                  "jp.stock.6752",  #
42                  "jp.stock.6861",  #
43                  "jp.stock.6954",  #
44                  "jp.stock.7203",  #
45                  "jp.stock.7751",  #
46              ],
47              "columns": [
48                  #"open_price_adj",    # 始値(株式分割調整後)
49                  "high_price_adj",  # 高値(株式分割調整後)
50                  "low_price_adj",  # 安値(株式分割調整後)
51                  #"volume_adj",         # 出来高
52                  #"txn_volume",         # 売買代金
53                  "close_price",  # 終値
54                  "close_price_adj",  # 終値(株式分割調整後) 
55              ]
56          }
57      })
58
59  def _MACD(data):
60    cp = data["close_price_adj"].fillna(method="ffill")
61    bas = pd.DataFrame(data=0, columns=[], index=cp.index)
62    rel = pd.DataFrame(data=0, columns=[], index=cp.index)
63    signal = pd.DataFrame(data=0, columns=[], index=cp.index)
64
65    for (sym, val) in cp.items():
66      
67      bas[sym] = ta.EMA(cp[sym].values.astype(np.double), timeperiod=12)
68      rel[sym] = ta.EMA(cp[sym].values.astype(np.double), timeperiod=26)
69      MACD = bas - rel
70      signal = MACD.fillna(method='ffill').rolling(
71          window=9, center=False).mean()
72
73    buy_sig = ((MACD > signal) & (MACD.shift(1) < signal.shift(1)) &
74               (MACD > 0))
75    sell_sig = ((MACD < signal) & (MACD.shift(1) > signal.shift(1)) &
76                (MACD < 0))
77    return {
78        "basic line": bas,
79        "relative line": rel,
80        "MACD:g2": MACD,
81        "signal:g2": signal,
82        "buy:sig": buy_sig,
83        "sell:sig": sell_sig,
84    }
85
86  # シグナル登録
87  ctx.regist_signal("_MACD", _MACD)
88
89
90def handle_signals(ctx, date, current):
91
92  buy = current["buy:sig"].dropna()
93  for (sym, val) in buy.items():
94
95    sec = ctx.getSecurity(sym)
96    sec.order(sec.unit() * 1, comment="SIGNAL BUY")
97    ctx.logger.debug("BUY: %s,  %f" % (sec.code(), val))
98    pass
99
100  sell = current["sell:sig"].dropna()
101  for (sym, val) in sell.items():
102
103    sec = ctx.getSecurity(sym)
104    sec.order(sec.unit() * -1, comment="SIGNAL SELL")
105    ctx.logger.debug("SELL: %s,  %f" % (sec.code(), val))
106    pass
107