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Processing time of backtests on a single computer

Brian G. Peterson 
You didn't say that you were doing parameter optimization.

The length of time that a parameter optimization using brute force will
take is a linear combination of the number of parameter combinations
that you choose to search.

Typically, you should only include parameter distributions for
parameters for which you feel you have a strong economic justification.
Your strategy contains eight parameter distributions and two
constraints.  The choices of these distributions appears arbitrary, and
will result in hundreds of combinations to test.  So, you should expect
your strategy to take approximately a linear combination of additional
time based on the number of parameters you wish to test. 

Another thing that will make this test take a long time is the inclusion
of trailing stops.  As is described in the documentation, trailing stops
require evaluating the strategy at more points in the path dependent
loop.  The number of observations that need to be evaluated in the path
dependent rules loop has another linear effect on the time to evaluate
your backtest.  Have you validated that there is a theoretical
justification for a trailing stop?  Does this increase the positive
expectation of your resulting signal process?

Most of the validation of your indicator and signal processes should be
possible long before you get to parameter optimization.

Regards,

Brian

Thread (25 messages)

Jersey Fanatic Processing time of backtests on a single computer Apr 6 Brian G. Peterson Processing time of backtests on a single computer Apr 6 Jersey Fanatic Processing time of backtests on a single computer Apr 6 Brian G. Peterson Processing time of backtests on a single computer Apr 6 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Joshua Ulrich Processing time of backtests on a single computer Apr 7 david.jessop at ubs.com Processing time of backtests on a single computer Apr 7 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Joshua Ulrich Processing time of backtests on a single computer Apr 7 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Erol Biceroglu Processing time of backtests on a single computer Apr 7 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Jersey Fanatic Processing time of backtests on a single computer Apr 7 Frank Processing time of backtests on a singlecomputer Apr 8 Jersey Fanatic Processing time of backtests on a singlecomputer Apr 8 Frank Processing time of backtests on a singlecomputer Apr 8 Jersey Fanatic Processing time of backtests on a singlecomputer Apr 9 Brian G. Peterson Processing time of backtests on a single computer Apr 9 Diego Peroni Long Enter Position do not "block" Short Enter Orders Apr 11 Ilya Kipnis Long Enter Position do not "block" Short Enter Orders Apr 11 Diego Peroni Long Enter Position do not "block" Short Enter Orders Apr 11 Ilya Kipnis Long Enter Position do not "block" Short Enter Orders Apr 11 Diego Peroni Long Enter Position do not "block" Short Enter Orders Apr 11 Ilya Kipnis Long Enter Position do not "block" Short Enter Orders Apr 11