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Different values by calculating the resample() and its RSI by Notebook and Algorithms

Hi,

I want to trade the 15min chart. So I have to resample the 1-min data to 15-min and then use its RSI. In order to get a quick result , I first try this in Notebook. Then I move that to Algorims. But I find the values I got are different. I attach my notebook and my sample-algo.

One can see the 1-min-datas are identical no matter using notebook or algorithm platform. But the resampled 15-min-data and its RSI are different.

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3 responses

And here is the algo.

It seems the values calculated from the notebook have forwards bias?

Clone Algorithm
15
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Backtest from to with initial capital
Total Returns
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Alpha
--
Beta
--
Sharpe
--
Sortino
--
Max Drawdown
--
Benchmark Returns
--
Volatility
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Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Backtest ID: 5963c0d128823c4ddc54f974
There was a runtime error.

Hi Thomas,

Notice the timestamps between your backtest's logs and notebook differ. Your algorithm prints current values at 9:31am, 9:46am, 10:01am, 10:16am etc, while the resampled pricing data in the notebook has timestamps at 9:45am, 10am, 10:15am, etc.

If you change your context.fct_call to start at 1, the values for resampled pricing data will match between backtest/notebook. However, the number of samples will go from 3 to 2 and will cause RSI to return NaN. You will need to adjust the number of bars you request with data.history to account for this.

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Ok, it works. Many thanks!