Differences in portfolio.stats

[rafalsza]

Hi
Why these two potfolios have different results? entries and exits are the same

import pandas as pd
import pandas_ta as ta
import vectorbt as vbt


cols = ['Open', 'High', 'Low', 'Close', 'Volume']
coin = 'BNB'
symbol = coin + 'USDT'
interval = '30m'
multiplier = 2.0
length = 3
df_1= vbt.BinanceData.download(symbol, start='1 month ago UTC', interval=interval).get(cols)
df_2 = vbt.BinanceData.download(symbol,start='1 month ago UTC', interval=interval).concat()


# HEIKIN_ASHI 1
df_3 = ta.ha(df_1['Open'], df_1['High'], df_1['Low'], df_1['Close'])

# heikin ashi 2
df_4 = vbt.pandas_ta('ha').run(df_2['Open'], df_2['High'], df_2['Low'], df_2['Close'])

#st 1
st1 = ta.supertrend(high=df_3['HA_high'], low=df_3['HA_low'], close=df_3['HA_close'], length=length, multiplier=multiplier)[
    f'SUPERT_{length}_{multiplier}']

#st2
st2 = vbt.pandas_ta('supertrend').run(df_4.ha_high, df_4.ha_low,df_4.ha_close, length=length, multiplier=multiplier)

entries1 = ta.cross_value(st1, df_3.HA_close, above=False)
exits1 = ta.cross_value(st1, df_3.HA_close)

entries2 = st2.supertd_crossed_above(0)
exits2 = st2.supertd_crossed_below(0)

portfolio1 = vbt.Portfolio.from_signals(df_1['Close'], entries1, exits1,fees=0.00075,sl_stop=0.045,init_cash=1000,freq='30m')
print(portfolio1.stats())

portfolio2 = vbt.Portfolio.from_signals(df_2['Close'], entries2, exits2,fees=0.00075,sl_stop=0.045,init_cash=1000,freq='30m')
print(portfolio2.stats())

[polakowo]

@rafalsza when I run the code both entries are pretty different.

[rafalsza]

are you sure? for me they are the same

print(entries1.loc[entries1 >0].tail())
print(entries2.loc[entries2 >0].tail())
print(exits1.loc[exits1 >0].tail())
print(exits2.loc[exits2 >0].tail())

Open time
2022-01-24 18:00:00+00:00    1
2022-01-25 09:00:00+00:00    1
2022-01-27 09:00:00+00:00    1
2022-01-27 22:00:00+00:00    1
2022-01-28 20:00:00+00:00    1

Open time
2022-01-24 18:00:00+00:00    True
2022-01-25 09:00:00+00:00    True
2022-01-27 09:00:00+00:00    True
2022-01-27 22:00:00+00:00    True
2022-01-28 20:00:00+00:00    True
Name: (3, 2.0, BNBUSDT), dtype: bool
Open time
2022-01-25 05:00:00+00:00    1
2022-01-26 18:00:00+00:00    1
2022-01-27 19:30:00+00:00    1
2022-01-28 10:00:00+00:00    1
2022-01-29 14:30:00+00:00    1

Open time
2022-01-25 05:00:00+00:00    True
2022-01-26 18:00:00+00:00    True
2022-01-27 19:30:00+00:00    True
2022-01-28 10:00:00+00:00    True
2022-01-29 14:30:00+00:00    True
Name: (3, 2.0, BNBUSDT), dtype: bool

[polakowo]

That's not the right away to compare boolean arrays. If you print head() you will already see some differences.

[rafalsza]

oh ok now I'm seeing a differences