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

Jersey Fanatic jerseyfanatic1 at gmail.com
Thu Apr 7 15:10:21 CEST 2016

10 years of daily data makes about 2500 data points. So extrapolating from
that to 58000 data points (assuming the relation is linear), it should take
about 12.2 secs for a single run with my dataset. For 144 runs (total
number of parameter combinations), it should take about 30 mins. However, I
ran apply.paramset() this morning (without trailing stops), it took 4.5
hours. And the code is the one that I sent earlier with Trailing stop rules

Did you run the macd demo code with single core? If you did some parallel
processing, did you use doSNOW package or something else? Maybe that is the
reason, I am not sure.

Would deleting trailing stop rules speed things up, instead of defining
them but setting enabled=FALSE?

2016-04-07 0:34 GMT+03:00 Brian G. Peterson <brian at braverock.com>:

> On Wed, 2016-04-06 at 23:58 +0300, Jersey Fanatic wrote:
> > I will try running the same code without trailing stops and see what
> > effect
> > it has on the processing time. I will report back as soon as it is
> > finished.
> Running the macd demo code over 10 years of daily data on my machine (no
> trailing stops) takes 0.5262365 secs for a single run.

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