Merge pull request #23 from git-it/patch-1

fixes datetime converstion issue ( issue #22)
ematvey · Aug 19, 2019 · de6878d · de6878d
2 parents a54975a + 49a1eeb
commit de6878d
Showing 1 changed file with 2 additions and 3 deletions.
diff --git a/pybacktest/performance.py b/pybacktest/performance.py
@@ -66,9 +66,8 @@ def mcmdd(eqd, runs=100, quantile=0.99, array=False):
 
 
 def holding_periods(eqd):
-    # rather crude, but will do
-    return pd.Series(eqd.index.to_datetime(), index=eqd.index, dtype=object).diff().dropna()
-
+    # rather crude, but will do...
+    return pd.Series(pd.to_datetime(eqd.index), index=eqd.index, dtype=object).diff().dropna()
 
 def performance_summary(equity_diffs, quantile=0.99, precision=4):
     def _format_out(v, precision=4):