Vim loses undo history when changing buffers

You can also add persistent undo, this will have vim store your undo even through restart:

" Persistent undo
set undofile
set undodir=$HOME/.vim/undo

set undolevels=1000
set undoreload=10000

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Edit - via @sanbor:

Don't forget to do mkdir ~/.vim/undo, otherwise vim won't do it for you.

You could :set hidden. This means that the buffer of the old file will only be hidden when you switch to the new file. When you switch back, you still have your undo history.