BUG: More robust index computation in lib.resample_apply

Fixes #19

Author: kernc

backtesting/lib.py

@@ -221,8 +221,10 @@ def strategy_I(func, *args, **kwargs):
 
     # Resample back to data index
     def wrap_func(resampled, *args, **kwargs):
-        ind = func(resampled, *args, **kwargs)
-        ind = ind.reindex(index=series.index | ind.index,
+        ind = pd.Series(np.asarray(func(resampled, *args, **kwargs)),
+                        index=resampled.index,
+                        name=resampled.name)
+        ind = ind.reindex(index=series.index | resampled.index,
                           method='ffill').reindex(series.index)
         return ind
 

backtesting/test/_test.py

@@ -475,6 +475,13 @@ def test_resample_apply(self):
         self.assertEqual(res.iloc[-48:].unique().tolist(),
                          [1.2426429999999997, 1.2423809999999995, 1.2422749999999998])
 
+        def resets_index(*args):
+            return pd.Series(SMA(*args).values)
+
+        res2 = resample_apply('D', resets_index, EURUSD.Close, 10)
+        self.assertTrue((res.dropna() == res2.dropna()).all())
+        self.assertTrue((res.index == res2.index).all())
+
     def test_plot_heatmaps(self):
         bt = Backtest(GOOG, SmaCross)
         stats, heatmap = bt.optimize(fast=range(2, 7, 2),