Cannot backtest using 1 minute data for more than 20 days worth of data..

[demarcog]

When I backtest an EFS using 1 minute data the maximum number of days that will work is between 15 and 20 daya.

If I try a shorter time interval 1-15 days it takes some time but completes. If I try and run a test on 20 days or more the test never completes, and esignal has to be terminated and restarted.

Given there are 120 days worth of data available I really need to be able to test my strategies on the maximum number of days.

Is there anyway of 1) optimizing the backtesting process to run faster, and more importantly run a successful backtest on 1 minute data for the entire 120 day time period.

Thanks..

[eSignal_JasonK]

Hello demarcog,

If you are using the new Strategy Analyzer in version 7.9.1, there has been some problems identified with that version that may be related to the problem you are experiencing. These have been corrected and should resolve this problem in the next version due out very soon.

If you are using verion 7.9, please post your code so I can test it on my end. In general you should be able to test on 120 days of data. How long the back test takes can be dependant on the specific routines in your code. Another factor that speeds up the process is if you have the formula applied to your chart that also has the 120-day time template applied.

[demarcog]

Jason,

Thank you very much for your quick response. I am actually using 7.8.

Most of the time, I cannot even load 120 days worth of 1 minute data (this is cash currency data BTW, EUR A0-FX). I'm trying it now and it's been running "receiving" for about 5 mnutes. I usually give up waiting and change the template to 10-20 days and reload as it's all the data I can successfully retrieve.

As far as running the strategy, I usually do not have the strategy loaded as a formula but occasionally do and never notices if it made a difference, do you suggest doing so?

The strategy is over 1 hundred lines of code, but have the same problem with even the sample EFS strategies.

I would love to know if you can setup a 1 minute 120 day template, load it into a chart, and then run any strategy against the data, and see if it runs. If you could send me the strategy,
(hopefully one that make money as I spent a few years myself trying to come up with something that makes money and have just about given up), I will try and run it on my system.


Thanks again, I really appreciate very much all the help and support you guys provide, and one of these days hope to return the favor.

[email protected]

[eSignal_JasonK]

Hello demarcog,

Also depending on the specs of your machine, it can take longer for an older machine to process all of the data. I just ran a test on a 1 minute chart for 120 on version 7.9 using the back test example formula in \Formulas\Backtesting\BtStochastic.efs.

The 120 days of data loaded in about 3 minutes on a Pentium 2.0 ghz cpu with 512MB ram. The back test took a little over 30 minutes to complete the processing of the report. The older slower machines will work, you just have to give it some time. The test generated 2420 trades.




The same test on a newer machine (Pentium(R) M 2.0 ghz, 1GB ram) took less than a minute to load the 120 days of data and about 1 minute to generate the back test report. Regardless of the newer machine the new version of the Strategy Analyzer that will be available with 7.9.2 is much faster. The report also generated 2420 trades.




As for running back test in general, it definitely makes the process faster if you have already loaded the formula on the chart. If you some comparison with the same formula, you'll see the difference.

[demarcog]

Thanks very much for taking the time and effort to run the test.

I'm running on a Pentium 4 - 1.2ghz w/1G of ram.

I ran my test overnight and it still is running now for about 12 hours.

Your CPU is almost twice as fast as mine, although I have double the memory. I can understand the test taking 2-3 times longer than your 30 minute execution but not this long.

As far as the data loading, I didn't time the load but know it took alot longer than 3 minutes. There are 1440 one minute data records per day times 120 days is 172,000 records, if each record is 100 bytes thats about 10 meg worth of data. Not a trivial amount of data, but I'm getting over 100k/second bandwidth on my cable modem suggesting that there are some application level bottlenecks causing the delays, as the available bandwidith is there and I can load 100 meg video files in less time.

[eSignal_JasonK]

Hello demarcog,

I agree, it shouldn't be taking 12 hours. Please confirm that you did apply the formula to the chart after the 120 days of data loaded. Correct? When you then started the back test, that chart with your formula was the active chart when you started the back test?

If you can answer yes to both then the first thing I would suggest is upgrading to 7.9. That version is using the Strategy Analyzer 1, which is what you're using in 7.8. That alone may not be the solution, but a fresh install might help matters. Once the new version of the Strategy Analyzer 2 is available (7.9.2) you will see major improvements for your back testing of 120 days.

Until then, there may be a few other things to try. Are you using a 24-hour time template? For the test I ran, I was using an RTH time template. If you don't need 24-hour data, limiting the time range for each day in the chart will also help speed up this process. I had about 45,000 one-minute bars in my test.

The other issue that we need to consider may be caused something in your formula code. If you would post your code here I'd be happy to take a look and run the test again using your specific formula.

[demarcog]

I did load the formula into the chart prior to running the back test and it was the active chart when the test began.

I will try you suggestion of upgrading to 7.9.1. Any idea when 7.9.2 with the new strategy analyzer will be available?

I am using a 24 hour time template as I'm testing cash currency markets. I'm not familiar with the RTH time template, what hours does that comprise?

Unfortunately the way things are right now, I can only run a test on 20 days worth of data. When origionally posted, the test was running for 12 hours, I actually let it run over the entiire weekend and it never finished.

I'm wondering if this isn't a matter of a performance issue but rather it looks like at a certain high water mark in the amount of data, the analyzer actually goes into an indefinate loop, indicating some type of logic or overflow programming issue.

[eSignal_JasonK]

Hello demarcog,

Please make note that I was suggesting 7.9, not 7.9.1. Here's the download link for that version.

7.9

7.9.1 has an updated version of the Strategy Analyzer, which has a few minor problems. These have been corrected, but won't be available until 7.9.2, which should be out within the next month or two if all goes well. That could change and I don't have a specific date for the release.

The RTH time template is for the regular NY trading hours. It won't have the time range you need for currencies, but you could create one. Here's an article from our Knowledgbase that will show you how to do this (Time Templates - Advanced Charting).

The number of trades generated per day will also have a direct effect on the amount of processing for the Strategy Analyzer. Again, please post your formula code so I can test it on my end. Another thing you could try is run the test using the \Formulas\Backtesting\BtStochastic.efs and see if the test completes with that formula.

[eSignal_JasonK]

Hello Demarcog,

Please download the updated installer from this post.