[R-SIG-Finance] Processing time of backtests on a single computer

Brian G. Peterson brian at braverock.com
Wed Apr 6 20:05:51 CEST 2016

On Wed, 2016-04-06 at 20:58 +0300, Jersey Fanatic wrote:
> Hi everyone,
> I am trying to backtest a simple strategy of mine, but it took approx 10
> hours of processing so I was wondering if it is normal.
> My computer has an i7 core 2.10 GHz, 8GB RAM with Windows 7 Ultimate OS. My
> code uses doSNOW package for parallel processing and all the 8 cores, so
> the CPU is %100 all the time for the complete 10 hours.
> The data the backtest is done on is M5 OHLC FX (24 hour) data for approx 1
> year  which makes a total of 58000 data points (counting OHLC as 1). The
> strategy has 4 entry&exit and 4 stoploss&trailingstoploss&takeprofit rules.
> 144 combinations of parameters are tested.
> I would just like to know if this time is normal for just 1 home-use
> computer. And I would be grateful for any recommendations to speed up this
> process to decrease computing time.

No, this sounds very high.

You haven't told us enough about what you're trying to do for anyone
here to help you in a specific way.  You'd need to provide a minimal
reproducible example.

However, we typically use a benchmark time of one core minute per day
per instrument on tick data (millions of observations per day).

Is seems likely that you are doing too much path dependent looping,
copying, or both.



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