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

[Jersey Fanatic]

So I tried to see what effect trailing stop and stop loss rules have on the
processing time. For the same dataset, only SL took 5 mins while only
trailing SL took 10 mins, and trailing SL with normal SL took 13 mins. I
guess it is processing it as fast as it should be. Thanks for all the help.

2016-04-07 20:45 GMT+03:00 Joshua Ulrich <josh.m.ulrich at gmail.com>:

> 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
> second.
>
> > 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>
> >> wrote:
> >> > 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
> >> minutes.
> >>
> >> > 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]]
> >> >
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> >> > 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
>

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