[R-SIG-Finance] Processing time of backtests on a single computer
josh.m.ulrich at gmail.com
Thu Apr 7 19:45:57 CEST 2016
On Thu, Apr 7, 2016 at 11:30 AM, Jersey Fanatic
<jerseyfanatic1 at gmail.com> wrote:
> Thanks for the insight. I did not know variations in processing time of 20
> minutes or so could happen between different parameter combinations.
> I ran the strategy with the same dataset with random parameters without
> Trailing SL, on single core and it took 5.15 minutes. The number of
> transactions were 7800. The amount of processing time seems too much
> compared to yours though. 5sec data of 3 years vs M5 data of just 1 year; 20
> min vs 5 mins.
Again, the number of observations is not a good predictor of the
amount of time it will take. You have 7800 transactions. My shortest
(longest) run had 25 (1500) transactions.
Seems reasonable to me that a strategy producing nearly 8000
transactions takes about 5 minutes; that's about 25 transactions a
> 2016-04-07 16:32 GMT+03:00 Joshua Ulrich <josh.m.ulrich at gmail.com>:
>> On Thu, Apr 7, 2016 at 8:10 AM, Jersey Fanatic <jerseyfanatic1 at gmail.com>
>> > 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
>> Number of data points is not necessarily a good estimator for run time
>> even if the strategies are the same. What matters more is the number
>> of timestamps/observations that must be evaluated. That includes
>> signals, moving orders, processing fills, etc.
>> > 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
>> Again, the relationship is not linear. Different parameter
>> combinations will produce differing amounts of signals, order
>> movement, fills, etc.
>> For example, I ran parameter optimization on ~3 years of 5-second
>> data. Some parameter combinations took 1-2 minutes, some took >20
>> > 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.
>> > [[alternative HTML version deleted]]
>> > _______________________________________________
>> > R-SIG-Finance at r-project.org mailing list
>> > https://stat.ethz.ch/mailman/listinfo/r-sig-finance
>> > -- Subscriber-posting only. If you want to post, subscribe first.
>> > -- Also note that this is not the r-help list where general R questions
>> > should go.
>> Joshua Ulrich | about.me/joshuaulrich
>> FOSS Trading | www.fosstrading.com
>> R/Finance 2016 | www.rinfinance.com
Joshua Ulrich | about.me/joshuaulrich
FOSS Trading | www.fosstrading.com
R/Finance 2016 | www.rinfinance.com
More information about the R-SIG-Finance