[R-SIG-Finance] Processing time of backtests on a singlecomputer
Frank
frankm60606 at gmail.com
Fri Apr 8 15:22:49 CEST 2016
Windows can start using the swap file long before 80% memory utilization. If
speed is of the essence, you might want to max out the memory on your
machine. If that doesn't help, return the memory.
Frank
Chicago, IL
-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-bounces at r-project.org] On Behalf
Of Jersey Fanatic
Sent: Friday, April 08, 2016 12:47 AM
To: Erol Biceroglu
Cc: r-sig-finance; Brian G. Peterson
Subject: Re: [R-SIG-Finance] Processing time of backtests on a
singlecomputer
RAM is usually at 80% or so, but CPU is maxing out, I guess that means RAM
is sufficient?
2016-04-07 23:23 GMT+03:00 Erol Biceroglu <erol.biceroglu at alumni.utoronto.ca
>:
> Hello,
>
> Only thing I can think of that might make it take longer, that affected me
> in the past, is RAM, especially in Windows. Is it maxing out at all?
>
>
> On Thursday, April 7, 2016, Jersey Fanatic <jerseyfanatic1 at gmail.com>
> wrote:
>
>> 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]]
>> > >> >
>> > >> > _______________________________________________
>> > >> > 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
>> >
>>
>> [[alternative HTML version deleted]]
>>
>> _______________________________________________
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>>
>
>
> --
>
> Erol Biceroglu
>
>
> *erol.biceroglu at alumni.utoronto.ca
> <erol.biceroglu at alumni.utoronto.ca>416-275-7970 <416-275-7970>*
>
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