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

[Jersey Fanatic]

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
enabled=FALSE'd.

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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