Pandas error when running the single stock example

[fretchen]

Hi, I am running the single stock example. As I run the line:

pf.create_returns_tear_sheet(stock_rets, live_start_date='2015-12-1')

I obtain the following error:

/lib/python3.4/site-packages/pandas/tseries/tools.py in _convert_listlike(arg, box, format, name)
329 arg = getattr(arg, 'values', arg)
330 result = tslib.array_with_unit_to_datetime(arg, unit,
--> 331 errors=errors)
332 if box:
333 if errors == 'ignore':
pandas/tslib.pyx in pandas.tslib.array_with_unit_to_datetime (pandas/tslib.c:38273)()
pandas/tslib.pyx in pandas.tslib.array_with_unit_to_datetime (pandas/tslib.c:37194)()
ValueError: non convertible value 2015-07-21with the unit 'D'

[justinlent]

@fretchen This is likely do to the version of pandas. What version are you on?

[fretchen]

Hi, I run it with pandas 0.18.1 . I might try to downgrade pandas to test the version issue, but am not sure yet how this is typically done.

[twiecki]

We should support 0.18.1 so I'll mark this as a bug, thanks for reporting.

[fretchen]

Ok, I tried to convert it back to version 0.18.0 and there I do not get any error messages.

[twiecki]

I can run single_stock_example.ipynb in the examples dir fine with 0.18.1. In any case it seems to be working for you now so I'm closing this. Please reopen if the problem resurfaces.

[saeedamen]

I appear to get a similar error

fig = pf.create_returns_tear_sheet(stock_rets, return_fig=True)

File "C:\Anaconda3-64\lib\site-packages\pyfolio\plotting.py", line 49, in call_w_context
return func(_args, *_kwargs)
File "C:\Anaconda3-64\lib\site-packages\pyfolio\tears.py", line 356, in create_returns_tear_sheet
returns, top=5, ax=ax_drawdown)
File "C:\Anaconda3-64\lib\site-packages\pyfolio\plotting.py", line 406, in plot_drawdown_periods
df_drawdowns = timeseries.gen_drawdown_table(returns, top=top)
File "C:\Anaconda3-64\lib\site-packages\pyfolio\timeseries.py", line 1072, in gen_drawdown_table
unit='D')
File "C:\Anaconda3-64\lib\site-packages\pandas\util\decorators.py", line 91, in wrapper
return func(_args, *_kwargs)
File "C:\Anaconda3-64\lib\site-packages\pandas\tseries\tools.py", line 291, in to_datetime
unit=unit, infer_datetime_format=infer_datetime_format)
File "C:\Anaconda3-64\lib\site-packages\pandas\tseries\tools.py", line 420, in _to_datetime
values = _convert_listlike(arg._values, False, format)
File "C:\Anaconda3-64\lib\site-packages\pandas\tseries\tools.py", line 331, in _convert_listlike
errors=errors)
File "pandas\tslib.pyx", line 1981, in pandas.tslib.array_with_unit_to_datetime (pandas\tslib.c:38273)
File "pandas\tslib.pyx", line 2071, in pandas.tslib.array_with_unit_to_datetime (pandas\tslib.c:37194)
ValueError: non convertible value 2015-07-21with the unit 'D'

where stock_rets = pf.utils.get_symbol_rets('FB') (thought it was initially issue with the date format, but not sure if that's the case)

I'm using Pandas 0.18.1

[twiecki]

Hm, I still can't reproduce. Can you show the output of

import pandas
pandas.util.print_versions.show_versions()

Mine is:

INSTALLED VERSIONS
------------------
commit: None
python: 3.5.1.final.0
python-bits: 64
OS: Linux
OS-release: 4.4.0-22-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: en_US.UTF-8
LANG: en_US.UTF-8

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.2
setuptools: 21.2.1
Cython: 0.24
numpy: 1.10.4
scipy: 0.17.0
statsmodels: 0.6.1
xarray: None
IPython: 4.2.0
sphinx: 1.4.1
patsy: 0.4.1
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.0.0
tables: 3.2.2
numexpr: 2.5.2
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 0.9.4
xlwt: 1.0.0
xlsxwriter: 0.8.7
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.13
pymysql: None
psycopg2: 2.6.1 (dt dec pq3 ext)
jinja2: 2.8
boto: 2.40.0
pandas_datareader: 0.2.1

[saeedamen]

Here is my output

INSTALLED VERSIONS
------------------
commit: None
python: 3.5.1.final.0
python-bits: 64
OS: Windows
OS-release: 10
machine: AMD64
processor: Intel64 Family 6 Model 58 Stepping 9, GenuineIntel
byteorder: little
LC_ALL: None
LANG: None

pandas: 0.18.1
nose: 1.3.7
pip: 8.1.1
setuptools: 20.3
Cython: 0.23.4
numpy: 1.11.0
scipy: 0.17.0
statsmodels: 0.6.1
xarray: None
IPython: 4.1.2
sphinx: 1.3.1
patsy: 0.4.0
dateutil: 2.5.3
pytz: 2016.4
blosc: None
bottleneck: 1.0.0
tables: 3.2.2
numexpr: 2.5
matplotlib: 1.5.1
openpyxl: 2.3.2
xlrd: 0.9.4
xlwt: 1.0.0
xlsxwriter: 0.8.4
lxml: 3.6.0
bs4: 4.4.1
html5lib: None
httplib2: None
apiclient: None
sqlalchemy: 1.0.12
pymysql: None
psycopg2: None
jinja2: 2.8
boto: 2.39.0
pandas_datareader: 0.2.1

[twiecki]

The thing I notice is numpy: 1.11.0. Which I don't seem to get via anaconda yet. Can you try with an environment that uses numpy 1.10?

[knajimi]

Just upgraded pyfolio to 0.5.0 and pandas to 0.18.1 and am now getting the same error. Also using numpy 1.11.0.

[twiecki]

I upgraded to numpy 1.11.0 and still can't reproduce.
Can you try upgrading to pyfolio master?

[twiecki]

Potentially #297 fixed it.

[abhijeetkalyan]

I ran into this same issue when using pyfolio 0.5.0. The fix was to upgrade to pyfolio master, via:

pip install git+https://github.com/quantopian/pyfolio.git

for reference, this is what the relevant line of pip freeze looks like now:

pyfolio==0.5.0+24.g8d8ddf1

This is in a virtualenv using pandas 0.18.1 and numpy 1.11.0.

[twiecki]

Thanks @abhijeetkalyan. We'll release a 0.5.1 soon that should have the fix.

[knajimi]

upgrade to master worked for me. thx!

[twiecki]

OK, I released a 0.5.1 to fix this behavior: http://quantopian.github.io/pyfolio/whatsnew/#v051-june-10-2016