TypingError from vbt.Portfolio.from_signals when testing with multiple assets

[jitesh-sejwal]

Below is my code -

import vectorbt as vbt
entries = pd.read_csv('entries.csv', parse_dates = True, index_col=[0])
exits = pd.read_csv('exits.csv', parse_dates = True, index_col=[0])
prices = pd.read_csv('prices.csv', parse_dates = True, index_col=[0])

This is how the individual data frames look like (entries, exits, and prices) -

(             GPPL ADANIGREEN
 2013-01-07  False        NaN
 2013-01-14  False        NaN
 2013-01-21  False        NaN
 2013-01-28  False        NaN
 2013-02-04  False        NaN
 ...           ...        ...
 2023-11-28  False      False
 2023-12-04  False      False
 2023-12-11  False      False
 2023-12-18  False      False
 2023-12-26  False      False
 
 [573 rows x 2 columns],
              GPPL ADANIGREEN
 2013-01-07   True        NaN
 2013-01-14   True        NaN
 2013-01-21   True        NaN
 2013-01-28   True        NaN
 2013-02-04   True        NaN
 ...           ...        ...
 2023-11-28  False       True
 2023-12-04  False      False
 2023-12-11  False      False
 2023-12-18  False      False
 2023-12-26  False      False
 
 [573 rows x 2 columns],
                   GPPL  ADANIGREEN
 2013-01-07   48.000000         NaN
 2013-01-14   47.049999         NaN
 2013-01-21   44.049999         NaN
 2013-01-28   43.150002         NaN
 2013-02-04   41.799999         NaN
 ...                ...         ...
 2023-11-28  142.149990     1026.50
 2023-12-04  150.350010     1550.30
 2023-12-11  151.600010     1526.65
 2023-12-18  146.700000     1533.10
 2023-12-26  153.050000     1597.00
 
 [573 rows x 2 columns])

When I run vbt with the following statement. I get an error "TypingError: Failed in nopython mode pipeline (step: nopython frontend)"

pf= vbt.Portfolio.from_signals(close = prices, entries = entries, exits = exits, size = 0.02, direction = 0, upon_opposite_entry =0, init_cash = 10_00_000, size_type = 'percent')
pf.stats()

Detailed error follows -

TypingError: Failed in nopython mode pipeline (step: nopython frontend)
Failed in nopython mode pipeline (step: nopython frontend)
non-precise type array(pyobject, 2d, F)
During: typing of argument at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2365)

File "lib\site-packages\vectorbt\portfolio\nb.py", line 2365:
def dir_enex_signal_func_nb(c: SignalContext,
    <source elided>
    """Resolve direction-aware signals out of entries, exits, and direction."""
    is_entry = flex_select_auto_nb(entries, c.i, c.col, c.flex_2d)
    ^

During: resolving callee type: type(CPUDispatcher(<function dir_enex_signal_func_nb at 0x000001A0F4DCFE50>))
During: typing of call at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2126)

During: resolving callee type: type(CPUDispatcher(<function dir_enex_signal_func_nb at 0x000001A0F4DCFE50>))
During: typing of call at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2126)

During: resolving callee type: type(CPUDispatcher(<function dir_enex_signal_func_nb at 0x000001A0F4DCFE50>))
During: typing of call at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2126)

During: resolving callee type: type(CPUDispatcher(<function dir_enex_signal_func_nb at 0x000001A0F4DCFE50>))
During: typing of call at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2126)

During: resolving callee type: type(CPUDispatcher(<function dir_enex_signal_func_nb at 0x000001A0F4DCFE50>))
During: typing of call at [F:\vbt\lib\site-packages\vectorbt\portfolio\nb.py](file:///F:/vbt/lib/site-packages/vectorbt/portfolio/nb.py) (2126)


File "lib\site-packages\vectorbt\portfolio\nb.py", line 2126:
def simulate_from_signal_func_nb(target_shape: tp.Shape,
    <source elided>
                    is_long_entry, is_long_exit, is_short_entry, is_short_exit = \
                        signal_func_nb(signal_ctx, *signal_args)

Note that if I run with only one asset, it works

pf= vbt.Portfolio.from_signals(close = prices.iloc[:,0], entries = entries.iloc[:,0], exits = exits.iloc[:,0], size = 0.02, direction = 0, upon_opposite_entry =0, init_cash = 10_00_000, size_type = 'percent')

I have attached files so as issue can be replicated. Am I doing something wrong?
entries.csv
exits.csv
prices.csv

[jitesh-sejwal]

Looks like the Nans were the issue.