Fix repeated OHLC samples with a fixed random seed

backtesting/lib.py

@@ -345,6 +345,9 @@ def random_ohlc_data(example_data: pd.DataFrame, *,
     `frac` is a fraction of data to sample (with replacement). Values greater
     than 1 result in oversampling.
 
+    An integer `random_state` seeds a reproducible sequence of samples.
+    Successive samples advance the random state instead of resetting it.
+
     Such random data can be effectively used for stress testing trading
     strategy robustness, Monte Carlo simulations, significance testing, etc.
 
@@ -355,8 +358,11 @@ def random_ohlc_data(example_data: pd.DataFrame, *,
     >>> next(ohlc_generator)  # returns new random data
     ...
     """
+    sampling_state = (np.random.RandomState(random_state)
+                      if isinstance(random_state, (int, np.integer)) else random_state)
+
     def shuffle(x):
-        return x.sample(frac=frac, replace=frac > 1, random_state=random_state)
+        return x.sample(frac=frac, replace=frac > 1, random_state=sampling_state)
 
     if len(example_data.columns.intersection({'Open', 'High', 'Low', 'Close'})) != 4:
         raise ValueError("`data` must be a pandas.DataFrame with columns "

backtesting/test/_test.py

@@ -997,6 +997,18 @@ def test_random_ohlc_data(self):
         self.assertEqual(new_data.shape, GOOG.shape)
         self.assertEqual(list(new_data.columns), list(GOOG.columns))
 
+    def test_random_ohlc_data_seeded_varies(self):
+        generator = random_ohlc_data(GOOG, random_state=42)
+        first = next(generator)
+        second = next(generator)
+        self.assertFalse(first.equals(second))
+
+    def test_random_ohlc_data_seeded_reproducible(self):
+        first = random_ohlc_data(GOOG, random_state=42)
+        second = random_ohlc_data(GOOG, random_state=42)
+        for _ in range(3):
+            assert_frame_equal(next(first), next(second))
+
     def test_compute_stats(self):
         stats = Backtest(GOOG, SmaCross).run()
         only_long_trades = stats._trades[stats._trades.Size > 0]