 Posted 2/10/2010 11:29:55
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I am backtesting 1 year of Bar Data for approx 2000 symbols. Using EMA and MACD indicators only and very few calculations.
The backtest is taking about 20 minutes to run. My comparison for speed is Tradery.com where the same system/symbols takes < 3 mins.
Are there any measures I can take to improve this performance?
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Posted 2/10/2010 11:55:07
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If you don't need separate ticks for the OHLC values, you can put the following line in your startup:
SystemData.CreateTicksFromBars = false;
This will speed things up a bit.
Also, just to make sure that your system logic isn't slowing down the simulation, you can try running an empty system over the same symbol set.
Thanks,
Daniel
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Posted 2/10/2010 12:33:52
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I have attempted both of your suggestions. The CreateTicksFromBars = false did not seem to help much, and even running on an empty system it took quite a while. This is probably the main thing holding me back from purchase. Love everything else.
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Posted 2/10/2010 14:59:06
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| Seems to be faster now for whatever reason....not sure what i did. Does the symbol data cache?
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Posted 2/11/2010 11:51:02
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No, it does not. If you're using the binary store, it is file based and it's possible Windows may be caching the reads. Did you limit the number of bars, by chance?
gregoryj (2/10/2010)
Seems to be faster now for whatever reason....not sure what i did. Does the symbol data cache?
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Posted 2/11/2010 12:47:51
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| No, but what i did notice was that my memory creeped up to 5.8gb and I have 6gb. I had 2 VMs running, so i shut them down. Once the memory was free, the backtest started cranking again.
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