Timeseries dataframe returns an error when using Pandas Align - valueError: cannot join with no overlapping index names

[ranton95]

My goal:

I have two time-series data frames, one with a time interval of 1m and the other with a time interval of 5m. The 5m data frame is a resampled version of the 1m data. What I'm doing is computing a set of RSI values that correspond to the 5m df using the vectorbt library, then aligning and broadcasting these values to the 1m df using df.align

The Problem:

When trying to do this line by line, it works perfectly. Here's what the final result looks like:

Working result(expected)

However, when applying it under the function, it returns the following error while having overlapping index names:

ValueError: cannot join with no overlapping index names

Here's the complete code:

import vectorbt as vbt
import numpy as np
import pandas as pd
import datetime

end_date = datetime.datetime.now()
start_date = end_date - datetime.timedelta(days=3)

btc_price = vbt.YFData.download('BTC-USD',
                                interval='1m',
                                start=start_date,
                                end=end_date,
                                missing_index='drop').get('Close')


def custom_indicator(close, rsi_window=14, ma_window=50):
    close_5m = close.resample('5T').last()
    rsi = vbt.RSI.run(close_5m, window=rsi_window).rsi
    rsi, _ = rsi.align(close, broadcast_axis=0, method='ffill')
    print(rsi) #to check
    print(close) #to check
    return

#setting up indicator factory
ind = vbt.IndicatorFactory(
    class_name='Combination',
    short_name='comb',
    input_names=['close'],
    param_names=['rsi_window', 'ma_window'],
    output_names=['value']).from_apply_func(custom_indicator,
                                            rsi_window=14,
                                             ma_window=50,
                                            keep_pd=True)
    
res = ind.run(btc_price, rsi_window=21, ma_window=50)


print(res)

Any help would be appreciated. Thankyou!

[Precisionguided]

I also got this error when attempting to do this.

[DogHouseDaimyo]

@ranton95 @Precisionguided I've been following this question trail around the net left by ranton95 (as they were the same locations I was going to ask this question), have either of you found a solution?

[izikeros]

As the error message says there is a problem with column names that do not have a common part (do not overlap). If you see the columns of rsi and close before calling align:

>>> rsi.columns
MultiIndex([(12, 'Close')],
           names=['rsi_window', None])
>>> close.columns
Index(['Close'], dtype='object')

You can modify close column names before passing it into align() method:

close.columns = pd.MultiIndex.from_tuples([(rsi_window, 'Close')], names=['rsi_window', None])

Not sure if it is the best solution but for your case should be sufficient. It might fail when using vector of parameters (e.g. rsi_window=[12,15])

[caocchinh]

You can just add axis=0 and it will works. You can learn more at the documentation: https://pandas.pydata.org/docs/reference/api/pandas.DataFrame.align.html
rsi, _ = rsi.align(close, broadcast_axis=0, method='ffill',axis=0)