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fix IndexError of the last trading day in backtest calendar (#751)

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Pengrong Zhu
2021-12-17 11:11:56 +08:00
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parent 6c83632fc4
commit 957f9a18e9
1 changed files with 2 additions and 2 deletions
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4
qlib/backtest/utils.py
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@@ -55,9 +55,9 @@ class TradeCalendarManager:
self.start_time = pd.Timestamp(start_time) if start_time else None
self.end_time = pd.Timestamp(end_time) if end_time else None
_calendar = Cal.calendar(freq=freq)
_calendar = Cal.calendar(freq=freq, future=True)
self._calendar = _calendar
_, _, _start_index, _end_index = Cal.locate_index(start_time, end_time, freq=freq)
_, _, _start_index, _end_index = Cal.locate_index(start_time, end_time, freq=freq, future=True)
self.start_index = _start_index
self.end_index = _end_index
self.trade_len = _end_index - _start_index + 1