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POPython: KeyError 'shift'
 

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    <p>I am new to Python and try to modify a pair trading script that I found here: <a href="https://github.com/quantopian/zipline/blob/master/zipline/examples/pairtrade.py" rel="nofollow">https://github.com/quantopian/zipline/blob/master/zipline/examples/pairtrade.py</a></p> <p>The original script is designed to use only prices. I would like to use returns to fit my models and price for invested quantity but I don't see how do it.</p> <p>I have tried: </p> <ul> <li>to define a data frame of returns in the main and call it in run</li> <li>to define a data frame of returns in the main as a global object and use where needed in the 'handle data'</li> <li>to define a data frame of retuns directly in the handle data</li> </ul> <p>I assume the last option to be the most appropriate but then I have an error with panda 'shift' attribute.</p> <p>More specifically I try to define 'DataRegression' as follow:</p> <pre><code>DataRegression = data.copy() DataRegression[Stock1]=DataRegression[Stock1]/DataRegression[Stock1].shift(1)-1 DataRegression[Stock2]=DataRegression[Stock2]/DataRegression[Stock2].shift(1)-1 DataRegression[Stock3]=DataRegression[Stock3]/DataRegression[Stock3].shift(1)-1 DataRegression = DataRegression.dropna(axis=0) </code></pre> <p>where 'data' is a data frame which contains prices, stock1, stock2 and stock3 column names defined globally. Those lines in the handle data return the error:</p> <pre><code>File "A:\Apps\Python\Python.2.7.3.x86\lib\site-packages\zipline-0.5.6-py2.7.egg\zipline\utils\protocol_utils.py", line 85, in __getattr__ return self.__internal[key] KeyError: 'shift' </code></pre> <p>Would anyone know why and how to do that correctly?</p> <p>Many Thanks, Vincent</p>
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    1. USMartijn Pieters
    1. USVincentH
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    1. COIs it the last line which is causing the exception? (`DataRegression = DataRegression.dropna(axis=0)` ?)
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      1. USAndy Hayden
    2. COIt is the second line which is causing the exception
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      1. USVincentH
    3. CO(That makes more sense with the error!) Does this mean that `DataRegression[Stock1].shift(1)` throws the same exception? Can you confirm the output of `type(DataRegression[Stock1])`?
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      1. USAndy Hayden
 

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