def _create_rebalance_event_times(self):
"""
Creates the list of rebalance timestamps used to determine when
to execute the quant trading strategy throughout the backtest.
Returns
-------
`List[pd.Timestamp]`
The list of rebalance timestamps.
"""
if self.rebalance == 'buy_and_hold':
rebalancer = BuyAndHoldRebalance(self.start_dt)
elif self.rebalance == 'daily':
rebalancer = DailyRebalance(
self.start_dt, self.end_dt
)
elif self.rebalance == 'weekly':
rebalancer = WeeklyRebalance(
self.start_dt, self.end_dt, self.rebalance_weekday
)
elif self.rebalance == 'end_of_month':
rebalancer = EndOfMonthRebalance(self.start_dt, self.end_dt)
else:
raise ValueError(
'Unknown rebalance frequency "%s" provided.' % self.rebalance
)
return rebalancer.rebalances
def test_buy_and_hold_rebalance(start_dt):
"""
Checks that the buy and hold rebalance sets the
appropriate internal attributes.
"""
sd = pd.Timestamp(start_dt, tz=pytz.UTC)
reb = BuyAndHoldRebalance(start_dt=sd)
assert reb.start_dt == sd
assert reb.rebalances == [sd]