made test for edge case targeted by PR #114 (thanks!)

cvxportfolio/result.py

@@ -89,12 +89,11 @@ def _change_universe(self, new_universe):
 
             # if new universe is larger we use it as ordering
             # this is the default situation with yfinance data
-            if self._current_universe.isin(new_universe).all():
+            # careful (thanks gh PR #114) because we need the
+            # _current_full_universe, otherwise we drop assets that
+            # are not traded any more
+            if self._current_full_universe.isin(new_universe).all():
                 joined = new_universe
-                # preprend all all the assets from full that are not in joined
-                joined = joined.insert(0, sorted(
-                    set(self._current_full_universe[:-1])
-                    - set(joined)))
 
             # otherwise we lose the ordering :(
             else:

cvxportfolio/tests/test_simulator.py

@@ -59,6 +59,39 @@ def test_simulator_raises(self):
                 columns=['X', 'USDOLLAR']),
                 volumes=pd.DataFrame([[0.]]))
 
+    def test_backtest_with_ipos_and_delistings(self):
+        """Test back-test with assets that both enter and exit."""
+        rets = pd.DataFrame(self.returns.iloc[:, -10:], copy=True)
+        volumes = pd.DataFrame(self.volumes.iloc[:, -9:], copy=True)
+        prices = pd.DataFrame(self.prices.iloc[:, -9:], copy=True)
+        rets.iloc[14:25, 1:3] = np.nan
+        rets.iloc[9:17, 3:5] = np.nan
+        rets.iloc[8:15, 5:7] = np.nan
+        rets.iloc[16:29, 7:8] = np.nan
+        print(rets.iloc[10:20])
+        # raise Exception
+
+        modified_market_data = cvx.UserProvidedMarketData(
+            returns=rets, volumes=volumes, prices=prices,
+            cash_key='cash',
+            min_history=pd.Timedelta('0d'))
+
+        simulator = cvx.StockMarketSimulator(market_data=modified_market_data)
+
+        policy = cvx.SinglePeriodOptimization(
+            cvx.ReturnsForecast() - 10 * cvx.FullCovariance(),
+            [cvx.LongOnly(), cvx.LeverageLimit(1)])
+
+        bt_result = simulator.backtest(policy, start_time = rets.index[10],
+            end_time = rets.index[20])
+
+        print(bt_result.w)
+
+        self.assertTrue(set(bt_result.w.columns) == set(rets.columns))
+        self.assertTrue(
+            np.all(bt_result.w.iloc[:-1].isnull() == rets.iloc[
+                10:20].isnull()))
+
     def test_backtest_with_difficult_universe_changes(self):
         """Test back-test with assets that both enter and exit at same time."""
         rets = pd.DataFrame(self.returns.iloc[:, -10:], copy=True)