"None of ['index'] are in the columns"

[NasserIO]

### I keep getting the following:

Max Sharpe Optimization failed for 2018-05-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2019-01-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2020-03-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2020-04-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2021-02-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2021-10-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2022-09-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2022-10-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
Max Sharpe Optimization failed for 2023-11-01, Continuing with Equal-Weights
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"
"None of ['index'] are in the columns"

### after this part:

returns_dataframe = np.log(new_df['Adj Close']).diff()

portfolio_df = pd.DataFrame()

for start_date in fixed_dates.keys():

try:

    end_date = (pd.to_datetime(start_date)+pd.offsets.MonthEnd(0)).strftime('%Y-%m-%d')

    cols = fixed_dates[start_date]

    optimization_start_date = (pd.to_datetime(start_date)-pd.DateOffset(months=12)).strftime('%Y-%m-%d')

    optimization_end_date = (pd.to_datetime(start_date)-pd.DateOffset(days=1)).strftime('%Y-%m-%d')
    
    optimization_df = new_df[optimization_start_date:optimization_end_date]['Adj Close'][cols]
    
    success = False
    try:
        weights = optimize_weights(prices=optimization_df,
                               lower_bound=round(1/(len(optimization_df.columns)*2),3))

        weights = pd.DataFrame(weights, index=pd.Series(0))
        
        success = True
    except:
        print(f'Max Sharpe Optimization failed for {start_date}, Continuing with Equal-Weights')
    
    if success==False:
        weights = pd.DataFrame([1/len(optimization_df.columns) for i in range(len(optimization_df.columns))],
                                 index=optimization_df.columns.tolist(),
                                 columns=pd.Series(0)).T
    
    temp_df = returns_dataframe[start_date:end_date]

    temp_df = temp_df.stack().to_frame('return').reset_index(level=0)\
               .merge(weights.stack().to_frame('weight').reset_index(level=0, drop=True),
                      left_index=True,
                      right_index=True)\
               .reset_index().set_index(['Date', 'index']).unstack().stack()

    temp_df.index.names = ['date', 'ticker']

    temp_df['weighted_return'] = temp_df['return']*temp_df['weight']

    temp_df = temp_df.groupby(level=0)['weighted_return'].sum().to_frame('Strategy Return')

    portfolio_df = pd.concat([portfolio_df, temp_df], axis=0)

except Exception as e:
    print(e)

portfolio_df = portfolio_df.drop_duplicates()

portfolio_df

[seriousammy]

@NasserIO if you look at the new_df payload in the previous segment where its like:

Download Fresh Daily Prices Data only for short listed stocks.

stocks = data.index.get_level_values('ticker').unique().tolist()

new_df = yf.download(tickers=stocks,
                     start=data.index.get_level_values('date').unique()[0]-pd.DateOffset(months=12),
                     end=data.index.get_level_values('date').unique()[-1])

new_df

Its no longer index but Ticker

So just update the part where its:

        temp_df = temp_df.stack().to_frame('return').reset_index(level=0)\
                   .merge(weights.stack().to_frame('weight').reset_index(level=0, drop=True),
                          left_index=True,
                          right_index=True)\
                   .reset_index().set_index(['Date', 'Ticker']).unstack().stack()
                    # update form 'index' to 'Ticker' ^^