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


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
Backtest from to with initial capital
Total Returns
Max Drawdown
Benchmark Returns
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!