BackTest faster than optimization
Author: mjj3
Creation Date: 2/4/2013 12:20 PM
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mjj3

#1
I'm running a backtest on a portfolio of about 2000 stocks. Why is it so much quicker to run a backtest from the DataSet tab and manually change the parameters than it is to run an optimization? It only take10 seconds for each scenario I am running but it takes about 4 minutes to run the same scenario via Optimization.
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Eugene

#2
Are you sure about not comparing apples to oranges i.e. a single backtest run to a series of backtests for each parameter combination (could be many hundreds)?

* How many Runs Required?
* Single symbol or multi-symbol mode, position sizing, and data loading settings
* Symbol(s) and data provider
* Selected optimization method
* Does your code rely on using StochD or a derivative DataSeries based on StochD?

That would be something to start with.
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