Hi,

Just wondering if anyone has an insight into this? Thank you.

Sakda
On Dec 28, 2012 10:24 PM, "Robert A'gata" <rhelpacc@gmail.com> wrote:

> Hi,
>
> I am investigating what the issue behind slowness of quantstrat is when
> dealing with large data. I have BBO-like data set for 1.5mio rows. The
> strategy is simply moving average crossing over. For data generation, I
> simulated an ARMA(1,1) process with appropriate volatility (see attached
> code). There are 478 occurrences of cross-over (both long and short). It
> took ~40min to run on AMD A6-3400M APU (quad-core) machine with 6GB of RAM.
> The rule is rather simple in this case. My expectation is that if
> quantstrat only acts on these 478 occurrences, it should take much less
> time than this. I have attached my code (please ignore the lower part that
> summarizes performance). I am wondering if there is any room for
> improvement. Any help or advice would be greatly appreciated. Thank you.
>
> Happy new year.
>
> Robert
>

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