quantlab.runs.backtest_stats.rebalance_fill_bars

quantlab.runs.backtest_stats.rebalance_fill_bars(rebalances, timestamps)

Return the fill bar of every decided rebalance: the bar after it on timestamps.

A weight decided at bar t fills at bar t + 1. A rebalance on the last bar, or off timestamps, has no fill bar there and is left out.

Parameters:

rebalancesarray_like of datetime64

The bars of the decided rebalances (the rebalance record’s decided bars).

timestampsarray_like of datetime64

The run’s bars, sorted.

Returns:

numpy.ndarray

The fill bars as datetime64[ns], sorted and unique.

Examples

>>> bars = pd.bdate_range("2024-01-01", periods=4)
>>> rebalance_fill_bars(bars[[0, 2, 3]].values, bars.values).astype(str).tolist()
['2024-01-02T00:00:00.000000000', '2024-01-04T00:00:00.000000000']