@black-magmar Hello. Perhaps this seems strange, but not entirely so.
Notice how the target classes are derived — a shift into the future is used.
For the last available date in this data, there are no target classes.
In each iteration, the backtester operates with the latest forecast. Although the entire series is forecasted, only the last value without an available target class is relevant.
This can be verified by running the function in a single-pass mode and examining the final forecast.
I assume this is done in such a way that the strategy can be run in both single-pass and multi-pass modes.
I became curious, so I will additionally verify what I have written to you.
3e7d97d8-f0f2-4218-8dbf-20a70b970905-image.png