alihan/backtesting.py
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REF: Revert daa1da9 and 52eb813 into something that works

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Kernc
2019-09-23 01:56:17 +02:00
parent 05a18d0071
commit 3deee42bae
2 changed files with 6 additions and 3 deletions
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6
backtesting/_util.py
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@@ -26,7 +26,11 @@ def _as_list(value):
def _data_period(df):
"""Return data index period as pd.Timedelta"""
return df.index[:100].to_series(keep_tz=True).diff().median()
if df.index.is_all_dates:
values = df.index[:100].to_series(keep_tz=True)
else:
values = df.index[:100].to_series()
return values.diff().median()
class _Array(np.ndarray):

3
backtesting/backtesting.py
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@@ -870,8 +870,7 @@ class Backtest:
df['Drawdown Duration'] = dd_dur
dd_dur = df['Drawdown Duration']
# Strip timezone info, otherwise pandas 0.24.2 errors when filling `s` ahead
df.index = data.index.tz_convert(None)
df.index = data.index
def _round_timedelta(value, _period=_data_period(df)):
if not isinstance(value, pd.Timedelta):