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I am trying to write a backtesting strategy on Backtrader in Python, and below is the code that is giving me the error. I am using the latest version of backtrader as of July 2, 2021.

import backtrader as bt
import backtrader.feeds as btfeeds
from datetime import datetime

cerebro = bt.Cerebro()
cerebro.broker.setcash(100000)
data = btfeeds.YahooFinanceData(dataname="SPY", fromdate=datetime(2016, 6, 25), 
todate=datetime(2021, 6, 25))
cerebro.adddata(data)
cerebro.run()

The error that I am getting is

Traceback (most recent call last): File "c:\Users\risha\PycharmProjects\PythonDataScience\BacktraderBacktesting\TestingData.py", line 9, in cerebro.run() File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\cerebro.py", line 1127, in run runstrat = self.runstrategies(iterstrat) File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\cerebro.py", line 1210, in runstrategies data._start() File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\feed.py", line 203, in _start self.start() File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\feeds\yahoo.py", line 355, in start super(YahooFinanceData, self).start() File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\feeds\yahoo.py", line 94, in start super(YahooFinanceCSVData, self).start() File "C:\Users\risha\anaconda3\lib\site-packages\backtrader\feed.py", line 674, in start self.f = io.open(self.p.dataname, 'r') FileNotFoundError: [Errno 2] No such file or directory: 'SPY'

I am confused on why this is happening. I have tried running this by adding a strategy in Cebro as well, but that still caused the same error. Could someone please help me fix this issue?

Rishab
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  • Just a clarifying comment: This error was just fixed on Backtrader2. See pull request: https://github.com/backtrader2/backtrader/pull/67 for the fix. You can install backtrader two, or just add the one line found here: https://github.com/backtrader2/backtrader/pull/67/files in to your backtrader library in feeds/yahoo.py – run-out Jul 08 '21 at 16:38

3 Answers3

4

I actually figured out the solution. If you use, the code:

import yfinance as yf

data = bt.feeds.PandasData(dataname=yf.download('SPY', '2015-07-06', '2021-07-01', auto_adjust=True))

This will allow you to get the data from online for any ticker. You will also have to use:

pip install yfinance

before you run this code.

Tonechas
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Rishab
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2

Yahoo! Finance has changed slightly their structure. Now requires headers for the data retreival on the http request. Since backtrader has a "old version" of yahoo.py on line 271 you need to add the headers. Once done works fine.

It happens as well with pandas & pandas-datareader which you'll need to upgrade them if you use it. (Which has been already sorted)

For Backtrader in yahoo.py line 271:

 crumb = None
 sess = requests.Session()
 ## ADD HEADERS
 sess.headers['User-Agent'] = 'backtrader'
 ## END HERE
 for i in range(self.p.retries + 1):  # at least once
     resp = sess.get(url, **sesskwargs)
     if resp.status_code != requests.codes.ok:

Here you have the original link for the yahoo.py changes.

Probably backtrader will launch a upgrade soon.

For Pandas and Pandas-DataReader

pip install --upgrade pandas
pip install --upgrade pandas-datareader

Have a nice day ;).

TERMINATOR
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Javier Castillo Guillén
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try to upgrade your backtrader. On 3rd of July there is a new release. I did update it but it still does not work. The problem is that it does not bt.feed.YahooFinance, take the data in the correct format. It is a new bug... I am waiting for them to fix it as well.

Alex
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