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Optimize speed EURUSD v's @YM
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Optimize speed EURUSD v's @YM

  #1 (permalink)
Trading Apprentice
Ireland
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: EUR/USD
 
Posts: 5 since Apr 2014
Thanks: 0 given, 1 received

Optimize speed EURUSD v's @YM

Hi I am using a similar strategy with different inputs on EURUSD and @YM on TS, however the optimisation speed of the @YM is much slower. I am based in Ireland anyone and idea why there is so much difference in speed. Is there a way to actually save historical data to PC. Or has anyone any idea regarding best way to run optimisation.

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  #2 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
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oreild3,

what are the chart settings for bar type and interval? Are you using look inside bar backtesting? If so, what is the resolution?
My guess is that it has simply something to do with the number of ticks processed during the optimization being different for each symbol. Therefore the questions above help to clarify this.

Regards,
ABCTG

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  #3 (permalink)
Trading Apprentice
Ireland
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: EUR/USD
 
Posts: 5 since Apr 2014
Thanks: 0 given, 1 received



ABCTG View Post
oreild3,

what are the chart settings for bar type and interval? Are you using look inside bar backtesting? If so, what is the resolution?
My guess is that it has simply something to do with the number of ticks processed during the optimization being different for each symbol. Therefore the questions above help to clarify this.

Regards,
ABCTG

Thanks for your reply ABCTG. However the strange thing is I have each tick selected for EURUSD and selected seconds for @SP in the hope of speeding things up, no luck though. On the EURUSD I have the backtestiing resolution set to 1 tick and on the @SP it is set to 1 sec. I would have thought that there would be as much tick data for the EURUSD as the @SP as it is a liquid product. This has me puzzled ?? Hopefully someone can shed some light. Backtesting is also slow with the @YM. Also of interest is when I load the worksheet the @YM and @SP are much slower to load than the EURUSD. I do not understand how the data load process works in detail on TS. I was wondering if it hand anything to do with the symbol themselves. Can't find anything on the net about this issue.

David

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  #4 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

Answer
This post has been selected as an answer to the original posters question Answer

David,

TS pulls the data and stores it locally on your disk. Assuming you are using the same start and end date try adding a simple counter to your strategy (or do an empty strategy with a counter) that counts each calculation cycle. This way you know if the amount is similar or way different.
That would be the first thing I'd do. If this shows the values being close enough the additional time might come from your code.

Regards,
ABCTG

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  #5 (permalink)
Trading Apprentice
Ireland
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: EUR/USD
 
Posts: 5 since Apr 2014
Thanks: 0 given, 1 received


ABCTG View Post
David,

TS pulls the data and stores it locally on your disk. Assuming you are using the same start and end date try adding a simple counter to your strategy (or do an empty strategy with a counter) that counts each calculation cycle. This way you know if the amount is similar or way different.
That would be the first thing I'd do. If this shows the values being close enough the additional time might come from your code.

Regards,
ABCTG

Yes that's sound advice I was thinking about looking at the ticks with a counter but the strategy counter is a better idea I will let you know how I fair out.

Thanks
David

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  #6 (permalink)
Trading Apprentice
Ireland
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: EUR/USD
 
Posts: 5 since Apr 2014
Thanks: 0 given, 1 received


oreild3 View Post
Yes that's sound advice I was thinking about looking at the ticks with a counter but the strategy counter is a better idea I will let you know how I fair out.

Thanks
David

I think I have found the problem, the issue is related to a global variable.

So thanks again for getting me thinking.

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  #7 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

David,

you are welcome. Out of curiosity what exactly causes the problems with Global Variables that it manifests itself when you test @YM and not when you test EURUSD?

Regards,
ABCTG


Last edited by ABCTG; April 26th, 2014 at 03:42 PM.
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  #8 (permalink)
Trading Apprentice
Ireland
 
Futures Experience: Intermediate
Platform: Tradestation
Favorite Futures: EUR/USD
 
Posts: 5 since Apr 2014
Thanks: 0 given, 1 received


ABCTG View Post
David,

you are welcome. Out of curiosity what exactly causes the problems with Global Variables that it manifests itself when you test @YM and not when you test EURUSD?

Regards,
ABCTG


TS just got back to me and they have said that there is a lot more tick data on the @YM than the EURUSD, so that answers my question. The issue I was having with GV's was that the names of the GV's in the set and get functions were different. I thought this may have had an impact on speed of optimisation, but this was not the case. Looks like it is down to tick data.

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The following user says Thank You to oreild3 for this post:
 
  #9 (permalink)
Market Wizard
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation, Multicharts.NET, NinjaTrader, MetaTrader
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,533 since Apr 2013
Thanks: 231 given, 855 received
Forum Reputation: Legendary

oreild3,

thanks for the explanation. You should be able to test this easily when you load one chart for each symbol with the same bar interval and same amount of bars. Then you run two optimizations with look inside bar backtesting disabled and the time it takes should be about the same.

Regards,
ABCTG

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