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darwinps

Hi
I have been trying to write a simple example with both single pass and multi pass just to understand them better. But I can't get them to produce the same result. Here is what I use:

single pass version:

import xarray as xr
import qnt.ta as qnta
import qnt.data as qndata

data = qndata.futures_load_data(min_date='2006-01-01', max_date='2007-01-01', assets= ['F_ES'])

close = data.sel(field='close')
close_one_day_ago = qnta.shift(close, periods=1)

_open = data.sel(field='open')
open_one_day_ago = qnta.shift(_open, periods=1)

weights = xr.where(open_one_day_ago < close_one_day_ago, 1, 0)

The result looks like the following.

multi pass version:

import xarray as xr
import qnt.ta as qnta
import qnt.backtester as qnbt
import qnt.data as qndata

def load_data(period):
    return qndata.futures_load_data(tail=period, assets=['F_ES'])

def strategy(data):
    close = data.sel(field='close')
    close_one_day_ago = qnta.shift(close, periods=1)
    _open = data.sel(field='open')
    open_one_day_ago = qnta.shift(_open, periods=1)
    weights = xr.where(open_one_day_ago < close_one_day_ago, 1, 0)
    return weights

weights = qnbt.backtest(
    competition_type= 'futures',
    load_data= load_data,
    lookback_period= 365,
    start_date= '2006-01-01',
    end_date= '2007-01-01',
    strategy= strategy
)

The result look like the following.

Any help/hint/suggestion is greatly appreciated.

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