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GlobalDictionary - incredibly inefficient calculations?
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Created: by technoloG Attachments:0

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GlobalDictionary - incredibly inefficient calculations?

  #1 (permalink)
Trading Apprentice
Walnut Creek, CA/USA
 
Futures Experience: Beginner
Platform: Tradestation
Favorite Futures: Crude CL, Dow YM
 
Posts: 5 since Sep 2018
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GlobalDictionary - incredibly inefficient calculations?

Hi all,

so I was trying to come up with a way to more efficiently backtest/optimize parameters for my strategies, and I was thinking that several parameters should probably match (e.g. length of bars to consider).

After some digging, I saw a post which detailed how to use a GlobalDictionary for a sender/receiver(s), so that I might be able to have the receivers (say, entry/exit strategies) use the same parameters as the sender (say, indicator(s) from which strategies are based). The problem I'm running into is that trying to invoke the GlobalDictionary alone (to, for example, set the values in the dictionary as part of the indicator calculation) appears to slow my indicator/strategy calculations by quite a lot... So much so that it makes even generating the indicator by itself take at least 10x as long as it otherwise would. Am I doing something wrong here? Is this expected behavior with the GlobalDictionary? Or is there a different construct I should be using instead?

Thank you!

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  #2 (permalink)
Trading Apprentice
Walnut Creek, CA/USA
 
Futures Experience: Beginner
Platform: Tradestation
Favorite Futures: Crude CL, Dow YM
 
Posts: 5 since Sep 2018
Thanks: 1 given, 0 received

found another option, but still same issue

After doing some searching, I found another construct that allows sharing between analysis techniques and strategies: GlobalValue. This, too, appears to suffer from the same problem...

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  #3 (permalink)
Trading Apprentice
Walnut Creek, CA/USA
 
Futures Experience: Beginner
Platform: Tradestation
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Posts: 5 since Sep 2018
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Pass by Reference: also doesn't work


An update:

So, I was able to use GlobalValue, but upon trying to optimize inputs, I was informed that "GlobalDictionary does not support multithreaded...*stuff*". My last thought then was to pass in a bunch of numericrefs, one set of them so that the "sender" could update the values, and another set so that the "receiver" can grab them from the function once they're set... Much to my dismay, it would appear as though each strategy creates its own instance of the function. So, the assumption of being able to use the numericrefs as a sort of sender/receiver contract was false. I am now at a loss... Is it really not possible to have multiple strategies adhere to the same inputs, without setting them all to the same thing, and making optimization of parameters nearly worthless (since they're almost certainly going to use different lengths for the computations after optimization, even though they're based on the same indicator)? Any advice here would be greatly appreciated!

Also.. I think it would be possible to do as I describe by using a super mondo strategy that encompasses both the entry as well as the exits, but the programmer in me believes that to be a terrible solution due to separation of concerns and all this... There has to be a better way


Last edited by technoloG; November 3rd, 2018 at 10:32 PM. Reason: Adding additional info for question
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  #4 (permalink)
 Vendor: www.abctradinggroup.com 
Hamburg Germany
 
Futures Experience: Advanced
Platform: Multicharts, Tradestation
Broker/Data: DTN IQ
Favorite Futures: ES
 
Posts: 1,831 since Apr 2013
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technoloG,

it sounds like your Global Dictionary is not configured for multi threading as this shouldn't be a problem.
Check out the example in the help file:
 
Code
To create an instance of GlobalDictionary to share values within same window type:

myGlobal = GlobalDictionary.create();

To create an instance of GlobalDictionary to share values beyond the same window type or between two charts when multi-core charting is enabled.

myGlobal = GlobalDictionary.create(true, "share_name");
In general I would say that the Dictionary is likely the bottleneck of your code and reducing calls to it to a minimum should speed up things (although the end result will likely still be slower than code without the dictionary). For example not reading the values on every tick/bar, but using the event handlers to only read the values when there was a change should speed things up.

Regards,

ABCTG

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