fix: guard calendar[index+1] peek in get_step_time for last bar (#2278)#2304
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fix: guard calendar[index+1] peek in get_step_time for last bar (#2278)#2304Vedantvijayhumbe wants to merge 1 commit into
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…osoft#2278) When end_time falls on the final calendar entry and no future calendar is available, calendar_index + 1 is out of bounds, crashing the backtest with an opaque IndexError. Guard the peek: if calendar_index + 1 < len(self._calendar) use the next bar as before; otherwise compute the right endpoint as left + one freq-period, mirroring the day_start + Timedelta(days=1) idiom already used in get_data_cal_range. epsilon_change is applied to whichever right is chosen, so the closed-interval convention is preserved on both paths. Added tests/backtest/test_calendar_boundary.py covering: - last-bar step does not raise - day and minute fallback values - pre-boundary steps are unchanged - full loop terminates with the correct step count
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@zhaow-de can you help me with the license/cla |
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@microsoft-github-policy-service agree |
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fix(backtest): resolve IndexError at the right calendar boundary (#2278)
Description
When
end_timefalls on the final calendar entry and no future calendar is available,calendar_index + 1evaluates out of bounds. This results in the backtest crashing with an opaqueIndexError.This PR guards the calendar peek in
TradeCalendarManager.get_step_time. The new logic operates as follows:calendar_index + 1 < len(self._calendar), it uses the next bar as before.left + one freq-period, which mirrors theday_start + Timedelta(days=1)idiom already used inget_data_cal_range.epsilon_changeis then applied to whichever right endpoint is chosen, ensuring the closed-interval convention is preserved across both execution paths.Motivation and Context
Resolves Issue: Fixes #2278
Previously, backtests traversing the entire dataset would fail on the very last trading step. This change ensures that backtests can safely process the final bar without breaking frequency assumptions or missing final portfolio calculations.
How Has This Been Tested?
pytest qlib/tests/test_all_pipeline.pyunder upper directory ofqlib.Specific Tests Added:
Added
tests/backtest/test_calendar_boundary.pywhich explicitly covers:IndexError.Types of changes