portfolio backtester: multicore backtest? (not optimization)  [SOLVED]

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mjm
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portfolio backtester: multicore backtest? (not optimization)

Postby mjm » 14 Nov 2012

I am running a backtest with a large number of symbols. (For background, I described my approach in an older post: http://www.multicharts.com/discussion/v ... =1&t=10830 "portfolio backtester - single pass priority logic"). Is there any way to take advantage of multicore hardware while running a single backtest?

My environment:
  • * Amazon EC2 "High-Memory Quadruple Extra Large Instance": 68 GB memory, 8 virtual cores, 64-bit
  • * Windows Server 2008 R2 Datacenter SP1 64-bit
  • * Multicharts64 8.0.5622.401
My Portfolio Backtester project:
  • * Number of instruments: ~ 15,000
  • * Number of bars: ~ 1,400
  • * Number of trades: ~ 26,000
  • * CPU utilization: ~ 12% (expected when using one core out of eight)
  • * Signal makes use of both FileAppend and the ELCollections library
I have reviewed these forum threads on multi-core support: The summary seems to be (1) in the Multicharts main charting application multiple charts may use multiple cores and (2) in Portfolio Backtester, the Optimizer may use multiple cores. But I don't see anything to suggest that the BackTest operation itself can use multiple cores. Is that correct?

Thanks,
-Mike

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TJ
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Re: portfolio backtester: multicore backtest? (not optimizat  [SOLVED]

Postby TJ » 14 Nov 2012

I am running a backtest with a large number of symbols. (For background, I described my approach in an older post: http://www.multicharts.com/discussion/v ... =1&t=10830 "portfolio backtester - single pass priority logic"). Is there any way to take advantage of multicore hardware while running a single backtest?

My environment:
  • * Amazon EC2 "High-Memory Quadruple Extra Large Instance": 68 GB memory, 8 virtual cores, 64-bit
  • * Windows Server 2008 R2 Datacenter SP1 64-bit
  • * Multicharts64 8.0.5622.401
My Portfolio Backtester project:
  • * Number of instruments: ~ 15,000
  • * Number of bars: ~ 1,400
  • * Number of trades: ~ 26,000
  • * CPU utilization: ~ 12% (expected when using one core out of eight)
  • * Signal makes use of both FileAppend and the ELCollections library
I have reviewed these forum threads on multi-core support: The summary seems to be (1) in the Multicharts main charting application multiple charts may use multiple cores and (2) in Portfolio Backtester, the Optimizer may use multiple cores. But I don't see anything to suggest that the BackTest operation itself can use multiple cores. Is that correct?

Thanks,
-Mike
see post #13
viewtopic.php?f=16&t=10811

mjm
Posts: 28
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Re: portfolio backtester: multicore backtest? (not optimizat

Postby mjm » 14 Nov 2012

Thanks (the answer is no).


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