How to deal with asset data having zeros in part when backtesting with 'runBacktest'?

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Doheon Lee 2021-7-19

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https://ww2.mathworks.cn/matlabcentral/answers/881866-how-to-deal-with-asset-data-having-zeros-in-part-when-backtesting-with-runbacktest

评论： Doheon Lee 2021-8-27

When backtesting with the functions 'backtestStrategy', 'backtestEngine', and 'runBacktest', I have an issue with an asset data including zeros.

The following code is an example, which equally weights 4 stocks with rebalancing the portfolio every 20 days. The following code works as expeted.

%% create a pseudo stock price table. 
d = datetime('2020-01-01'):caldays(1):datetime('2020-12-31'); % create a date array
price = rand(numel(d), 4); % create a pseudo stock prices
% price(:,4) = 0;
priceTT = array2timetable(price, 'RowTimes', d', ...
    'VariableNames', {'Stock_A', 'Stock_B', 'Stock_C', 'Stock_d'});
%% create a backtesting strategy which equally weights all stocks and rebalances every 20 days 
nAsset = size(priceTT, 2);
initial_weights = ones(1,nAsset) / nAsset;
equalWeightFn = @(~, ~) initial_weights;
strategy = backtestStrategy('EqualWeighting', equalWeightFn, ...
    'InitialWeights', initial_weights, ...
    'TransactionCosts', 0 , ...
    'RebalanceFrequency', 20);
%% create a backtest engine and run backtest. 
backtester = backtestEngine(strategy);
bt = runBacktest(backtester, priceTT);
%% summry the backtest result. 
summary(bt)

However, when the prices of 'Stock_d' is replaced with zeros (please uncomment the third line in the example, "prices(:,4) = 0"), all the backtesting results becomes as below.

                       EqualWeighting
                       ______________
    TotalReturn             NaN      
    SharpeRatio             NaN      
    Volatility              NaN      
    AverageTurnover         NaN      
    MaxTurnover               0      
    AverageReturn           NaN      
    MaxDrawdown             NaN      
    AverageBuyCost            0      
    AverageSellCost           0      

Please advise me whey an asset data including a stocks with zeros does not work.

Thank you for any comment in advance.

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Brendan 2021-8-16

Peter is correct. In the latest version of the financial toolbox you will get a more helpful error message if you attempt to invest in an asset that has an invalid return (for example and Inf for NaN return).

backtest strategy rebalance functions should take care to avoid investing in assets that encounter invalid return data.

Doheon Lee 2021-8-27

在 MATLAB Online 中打开

Thank you, Peter and Brenda,

My MATLAB is 2021a, and I still have thie problem. Instead of zeoring for NaN values in a table containing historica stock prices, I replaced NaN with 1e-10, which is close to zero and it works fine. That is, replacing the third line with the following,

price(:,4) = ie-10;

Thank you for the comments. :)

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How to deal with asset data having zeros in part when backtesting with 'runBacktest'?

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How to deal with asset data having zeros in part when backtesting with 'runBacktest'?

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