使用Quantstats utils.make_index()时遇TypeError：float与str无法相加

问题现象 #

调用quantstats.utils.make_index()函数时，触发TypeError: unsupported operand type(s) for +: 'float' and 'str'错误，测试其他标的组合、直接传入标的与权重参数、在旧版本中测试均会复现。

测试代码：

import quantstats as qs
qs.extend_pandas()

IAC = {"SPY": 1.3, "AGG": -.3}

portfolio = qs.utils.make_index(IAC)

报错回溯 #

Traceback (most recent call last):
  File "C:\Users\whohe\PycharmProjects\pythonProject\quantstat_portfolio.py", line 31, in <module>
    portfolio = qs.utils.make_index(IAC,rebalance='1M',period='max',returns=None,match_dates=False)
                ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\quantstats\utils.py", line 400, in make_index
    return index[index.index <= last_day].sum(axis=1)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\frame.py", line 11670, in sum
    result = super().sum(axis, skipna, numeric_only, min_count, **kwargs)
             ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\generic.py", line 12506, in sum
    return self._min_count_stat_function(
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\generic.py", line 12489, in _min_count_stat_function
    return self._reduce(
           ^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\frame.py", line 11562, in _reduce
    res = df._mgr.reduce(blk_func)
          ^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\internals\managers.py", line 1500, in reduce
    nbs = blk.reduce(func)
          ^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\internals\blocks.py", line 404, in reduce
    result = func(self.values)
             ^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\frame.py", line 11481, in blk_func
    return op(values, axis=axis, skipna=skipna, **kwds)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\nanops.py", line 85, in _f
    return f(*args, **kwargs)
           ^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\nanops.py", line 404, in new_func
    result = func(values, axis=axis, skipna=skipna, mask=mask, **kwargs)
             ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\nanops.py", line 477, in newfunc
    return func(values, axis=axis, **kwargs)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\pandas\core\nanops.py", line 646, in nansum
    the_sum = values.sum(axis, dtype=dtype_sum)
              ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "C:\Users\whohe\PycharmProjects\pythonProject\venv\Lib\site-packages\numpy\core\_methods.py", line 49, in _sum
    return umr_sum(a, axis, dtype, out, keepdims, initial, where)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
TypeError: unsupported operand type(s) for +: 'float' and 'str'

问题原因 #

这个问题是Quantstats包内部的bug，和你的代码无关。

从报错栈可以定位到错误发生在quantstats/utils.py第400行的sum(axis=1)操作——说明函数构建的index数据框中混合了浮点数和字符串类型的数据，导致求和时出现类型不兼容的问题。

根源是make_index()函数在拉取标的数据、计算权重后的收益过程中，没有正确校验并确保所有列都是数值类型，可能是数据拉取时混入了非数值的异常值，或者是某一步数据转换遗漏了类型处理。

临时解决方法 #

方法1：手动计算组合指数 #

自己拉取标的收益率并转换为数值类型，手动计算组合收益后转成指数：

import quantstats as qs
import pandas as pd

qs.extend_pandas()

# 拉取标的收益率并强制转为float类型
spy_returns = qs.utils.get_returns("SPY").astype(float)
agg_returns = qs.utils.get_returns("AGG").astype(float)

# 计算组合加权收益率
portfolio_returns = spy_returns * 1.3 + agg_returns * (-0.3)
# 转换为指数形式
portfolio_index = qs.utils.to_index(portfolio_returns)

方法2：修改Quantstats源码 #

找到你的虚拟环境中quantstats/utils.py文件，定位到make_index函数的第400行附近，在sum(axis=1)之前添加一行代码强制转换所有列为数值类型：

# 在 return index[index.index <= last_day].sum(axis=1) 之前添加
index = index.astype(float)
return index[index.index <= last_day].sum(axis=1)

内容的提问来源于stack exchange，提问作者Sávio Coelho