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rebalancing days calculation with days in data

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Camilo1704
2020-03-17 15:01:16 -03:00
parent cb00fc528b
commit fff5455894
1 changed files with 5 additions and 6 deletions
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backtester/backtester.py
+5 -6
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@@ -105,12 +105,11 @@ class Backtest:
if sma_days:
self.stocks_data.sma(sma_days)
rebalancing_days = pd.date_range(
self._stocks_data.start_date, self.stocks_data.end_date, freq=str(rebalance_freq) +
'BMS') if rebalance_freq else []
# Prepend the first day to the rebalancing days
rebalancing_days = pd.DatetimeIndex([self.stocks_data.start_date]).append(rebalancing_days)
dates = pd.DataFrame(self.options_data._data[['quotedate',
'volume']]).drop_duplicates('quotedate').set_index('quotedate')
rebalancing_days = pd.to_datetime(
dates.groupby(pd.Grouper(freq=str(rebalance_freq) +
'BMS')).apply(lambda x: x.index.min()).values) if rebalance_freq else []
data_iterator = self._data_iterator(monthly)
bar = pyprind.ProgBar(len(stock_dates), bar_char='█')