Merge pull request #407 from brrrak/add-date-check

Fix "Momentum lag results in IndexError"
pmorissette · Nov 20, 2023 · 51ec0c0 · 51ec0c0
2 parents 6930ccc + 654b7a9
commit 51ec0c0
Showing 1 changed file with 2 additions and 0 deletions.
diff --git a/bt/algos.py b/bt/algos.py
@@ -972,6 +972,8 @@ def __init__(self, lookback=pd.DateOffset(months=3), lag=pd.DateOffset(days=0)):
     def __call__(self, target):
         selected = target.temp["selected"]
         t0 = target.now - self.lag
+        if target.universe[selected].index[0] > t0:
+            return False
         prc = target.universe.loc[t0 - self.lookback : t0, selected]
         target.temp["stat"] = prc.calc_total_return()
         return True