Merge pull request #101 from Lumiwealth/features/backtesting_last_price_discrepency_

There was a time shift error with bars. Corrected this and modified i…

Author: grzesir

lumibot/backtesting/data_source_backtesting.py

@@ -65,6 +65,6 @@ def _pull_source_symbol_bars(self, asset, length, timestep=None, timeshift=0):
         if result is None:
             return result
         else:
-            filter_criteria = result.index < self._datetime
+            filter_criteria = result.index <= self._datetime
             result = result[filter_criteria]
             return result

tests/test_main_pandas_daily.py

@@ -165,41 +165,40 @@ def test_integration():
     expected_result = {
         "buy_and_hold": {
             "cagr": 0.1476027590432618,
-            "romad": 2.2315656039426397,
+            "volatility": 0.13352288364371973,
             "sharpe": 1.1054491560945578,
+            "romad": 2.2315656039426397,
             "total_return": 0.09509502182006835,
-            "volatility": 0.13352288364371973,
+        },
+        "simple": {
+            "cagr": 0.005829326013952141,
+            "volatility": 0.006478334119743725,
+            "sharpe": 0.8998186734744613,
+            "romad": 1.6573403606987755,
+            "total_return": 0.003842514038087108,
         },
         "debt_trading": {
             "cagr": 0.20554760657213134,
-            "romad": 8.00686191195888,
+            "volatility": 0.07017662276132623,
             "sharpe": 2.929003968617979,
+            "romad": 8.00686191195888,
             "total_return": 0.13127250881195174,
-            "volatility": 0.07017662276132623,
+        },
+        "momentum": {
+            "cagr": 0.48736434348385216,
+            "volatility": 0.11638046363125136,
+            "sharpe": 4.187681748957919,
+            "romad": 14.647567392415182,
+            "total_return": 0.29946557283401365,
         },
         "diversification": {
             "cagr": 0.19794477299026614,
-            "romad": 6.443675455209815,
+            "volatility": 0.0570697876160907,
             "sharpe": 3.4684687162644363,
+            "romad": 6.443675455209815,
             "total_return": 0.1265600008964547,
-            "volatility": 0.0570697876160907,
-        },
-        "momentum": {
-            "cagr": 0.4848441103037764,
-            "romad": 14.722161562758469,
-            "sharpe": 4.175720386980683,
-            "total_return": 0.2980123232841483,
-            "volatility": 0.11611029124829647,
-        },
-        "simple": {
-            "cagr": 0.005829326013952141,
-            "romad": 1.6573403606987755,
-            "sharpe": 0.8998186734744613,
-            "total_return": 0.003842514038087108,
-            "volatility": 0.006478334119743725,
         },
     }
-
     for strategy, results in agg_results.items():
         assert results["cagr"] == expected_result[strategy]["cagr"]
         assert results["romad"] == expected_result[strategy]["romad"]
@@ -217,6 +216,5 @@ def remove_test_dir():
 
     request.addfinalizer(remove_test_dir)
 
-
 if __name__ == "__main__":
     test_integration()