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BUG: Handle sequence inputs consistently in quantile rank #1421

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BUG: Handle sequence inputs consistently in quantile rank #1421

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5 changes: 3 additions & 2 deletions backtesting/lib.py
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Original file line number Diff line number Diff line change
Expand Up @@ -162,9 +162,10 @@ def quantile(series: Sequence, quantile: Union[None, float] = None):
0.13
"""
if quantile is None:
values = np.asarray(series)
try:
last, series = series[-1], series[:-1]
return np.mean(series < last)
last, values = values[-1], values[:-1]
return np.mean(values < last)
except IndexError:
return np.nan
assert 0 <= quantile <= 1, "quantile must be within [0, 1]"
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17 changes: 15 additions & 2 deletions backtesting/test/_test.py
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Original file line number Diff line number Diff line change
Expand Up @@ -952,8 +952,21 @@ def test_crossover(self):
self.assertFalse(crossover([0], [1]))

def test_quantile(self):
self.assertEqual(quantile(np.r_[1, 3, 2], .5), 2)
self.assertEqual(quantile(np.r_[1, 3, 2]), .5)
for series in (
np.r_[1, 3, 2],
[1, 3, 2],
(1, 3, 2),
pd.Series([1, 3, 2]),
pd.Series([1, 3, 2], index=[-1, 0, 1]),
pd.Series([1, 3, 2], index=pd.date_range('2020', periods=3))):
with self.subTest(series=series):
self.assertEqual(quantile(series, .5), 2)
self.assertEqual(quantile(series), .5)

def test_quantile_empty(self):
for series in (np.array([]), [], (), pd.Series(dtype=float)):
with self.subTest(series=series):
self.assertTrue(np.isnan(quantile(series)))

def test_resample_apply(self):
res = resample_apply('D', SMA, EURUSD.Close, 10)
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