BUG: fixed issue #77, a sortino warning prevents analyze() from completing

catalyst/finance/risk/cumulative.py

@@ -274,12 +274,14 @@ algorithm_returns ({algo_count}) in range {start} : {end} on {dt}"
         )
 
         try:
+            risk = self.downside_risk[dt_loc]
             self.sortino[dt_loc] = sortino_ratio(
                 self.algorithm_returns,
-                _downside_risk=self.downside_risk[dt_loc]
+                _downside_risk=risk
             )
-        except Exception as e:
-            log.debug('sortino ratio error: {}'.format(e))
+        except Exception:
+            # TODO: what causes it to error out?
+            self.sortino[dt_loc] = 0
 
         self.information[dt_loc] = information_ratio(
             self.algorithm_returns,

catalyst/finance/risk/period.py

@@ -23,7 +23,7 @@ import numpy as np
 import pandas as pd
 
 from . import risk
-from . risk import check_entry
+from .risk import check_entry
 
 from empyrical import (
     alpha_beta_aligned,
@@ -85,7 +85,7 @@ class RiskMetricsPeriod(object):
             cum_returns(self.algorithm_returns).iloc[-1]
 
         if not self.algorithm_returns.index.equals(
-            self.benchmark_returns.index
+                self.benchmark_returns.index
         ):
             message = "Mismatch between benchmark_returns ({bm_count}) and \
             algorithm_returns ({algo_count}) in range {start} : {end}"
@@ -128,10 +128,17 @@ class RiskMetricsPeriod(object):
         self.downside_risk = downside_risk(
             self.algorithm_returns.values
         )
-        self.sortino = sortino_ratio(
-            self.algorithm_returns.values,
-            _downside_risk=self.downside_risk,
-        )
+
+        try:
+            risk = self.downside_risk
+            self.sortino = sortino_ratio(
+                self.algorithm_returns.values,
+                _downside_risk=risk,
+            )
+        except Exception:
+            # TODO: what causes it to error out?
+            self.sortino = 0
+
         self.information = information_ratio(
             self.algorithm_returns.values,
             self.benchmark_returns.values,
@@ -141,7 +148,7 @@ class RiskMetricsPeriod(object):
             self.benchmark_returns.values,
         )
         self.excess_return = self.algorithm_period_returns - \
-            self.treasury_period_return
+                             self.treasury_period_return
         self.max_drawdown = max_drawdown(self.algorithm_returns.values)
         self.max_leverage = self.calculate_max_leverage()
 

catalyst/utils/run_algo.py

@@ -451,7 +451,8 @@ def run_algorithm(initialize,
                   exchange_name=None,
                   base_currency=None,
                   algo_namespace=None,
-                  live_graph=False):
+                  live_graph=False,
+                  output=os.devnull):
     """Run a trading algorithm.
 
     Parameters
@@ -564,7 +565,7 @@ def run_algorithm(initialize,
         bundle_timestamp=bundle_timestamp,
         start=start,
         end=end,
-        output=os.devnull,
+        output=output,
         print_algo=False,
         local_namespace=False,
         environ=environ,