Perhaps it is more straightforward to create the trade calendar from scratch, like so: import datetime as dt from pandas.tseries.holiday import AbstractHolidayCalendar, Holiday, nearest_workday, \ USMartinLutherKingJr, USPresidentsDay, GoodFriday, USMemorialDay, \ USLaborDay, USThanksgivingDay class USTradingCalendar(AbstractHolidayCalendar): rules = [ Holiday(‘NewYearsDay’, month=1, day=1, observance=nearest_workday), USMartinLutherKingJr, USPresidentsDay, GoodFriday, USMemorialDay, Holiday(‘USIndependenceDay’, month=7, day=4, observance=nearest_workday), USLaborDay, USThanksgivingDay, Holiday(‘Christmas’, month=12, day=25, observance=nearest_workday) … Read more