Stop order signal very slow in optimization

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glam_100
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Stop order signal very slow in optimization

Postby glam_100 » 10 Oct 2007

Hi,

I've done some test to compare the optimization speed of Multichart vs TS.

I found that strategies (signals) with the keyword stop slows down Multichart drammatically.

Below is a simple test strategy. I ran it on a chart using symbol SPY with 2 years daily data (10/10/2007 with 2 years back).

{--------------------------------------------}

inputs:
Iteration( 10000);

Buy next bar highest(high, 20) stop;
Sell short next bar lowest(low, 20) stop;

{---------------------------------------------}

I ran the optimization with 10,000 iteration and found that Multichart optimization is a few times slower than TS. Note that I'm using a quad core machine. It takes 4 mins for MC to ran thru 10,000 iterations and only 1 min for TS to do the same.

In other tests when the keyword "stop" is not present MC outperforms TS 3.5x everytime.

Please find out what is happening.

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Marina Pashkova
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Postby Marina Pashkova » 10 Oct 2007

Hi,

Thank you for drawing our attention to the issue.

By the way, was that you reporting the similar issue on EliteTrader as laputa? http://www.elitetrader.com/vb/showthrea ... enumber=13

Just wondering because the same issue has been reported twice on the same day.

Thanks again.

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Marina Pashkova
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Postby Marina Pashkova » 10 Oct 2007

Hello again,

The bug has been confirmed.

Thanks a lot for reporting it! We really appreciate that.

glam_100
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Postby glam_100 » 10 Oct 2007

Hi,

Thank you for drawing our attention to the issue.

By the way, was that you reporting the similar issue on EliteTrader as laputa? http://www.elitetrader.com/vb/showthrea ... enumber=13

Just wondering because the same issue has been reported twice on the same day.

Thanks again.



Ok that's me... I was trying to hide...

I spent 2 hours today trying out code line by line to find this bug. Don't blame me on bring this issue up on elitetrader...

The elitetrader posts was before I found out what's wrong with the stop keyword... they won't let me edit the post.

Cheers

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Marina Pashkova
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Postby Marina Pashkova » 11 Oct 2007

Hi,

Well, then we would really appreciate if you posted a new message on elitetrader specifying that what you said about the MC optimization speed is only true under the conditions you specified on our forum and that we have started working to fix the problem.

By the way, we really appreciate your pointing out the problem.

Regards.

glam_100
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Postby glam_100 » 11 Oct 2007

sure no problem

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Marina Pashkova
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Postby Marina Pashkova » 11 Oct 2007

Thank you!

We really appreciate it.

glam_100
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Postby glam_100 » 11 Oct 2007

Just post an update on elitetrader.

BTW would there be a fix soon?

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Marina Pashkova
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Postby Marina Pashkova » 11 Oct 2007

It will be fixed in a demo version due in 20-30 days.

It won't be the only thing fixed. The stop keyword slowing down backtesting/optimization is just a part of the issue. We are dealing with a more general problem and keep optimizing the code.

Apart from that, the demo version will also have intrabar order generation.

glam_100
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Postby glam_100 » 11 Oct 2007

That's great. Thanks!

glam_100
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Postby glam_100 » 27 Oct 2007

Is there a new beta coming out soon that will fix this problem?

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Marina Pashkova
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Postby Marina Pashkova » 29 Oct 2007

Next MC version due end of November should have the problem of stop orders slowing down the optimization fixed.


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