Regarding Quad-Core support - Wealth Lab Forum

bgood

#1

7/14/2009 4:26 PM

Hello all, I searched and found discussions w.r.t. WL4 and quad-core processing, but I cannot find anything regarding WL5 and supporting multiple-core processors. The latest update with the optimizations is very cool, but WL5 appears to only utilize 1 CPU. While I am sure that there are many features you are working on adding, is there any chance that multi-core support could make the list?

Eugene

#2

7/15/2009 12:36 AM

WL5 utilizes multi-core CPUs by virtue of .NET. What you're probably observing is that the CPU load isn't 100%.

As a workaround, you could launch 4 copies (not workspaces) as suggested in this FAQ and set processor affinity in Task Manager. Still it's possible to run several copies of Wealth-Lab 6 under different Windows user names.

bgood

#3

7/15/2009 4:10 PM

Hi Eugene. Let me start by saying that you guys have been a great support. Next, there are many features of Wealth-Lab that I have not yet explored, and workspaces is one of them. I have been testing using the new optimize link. I have had one optimization running many simulations (30 minutes), and my quad-core only was working about 26%. It might be that be using workspaces I could utilize more of my CPU. I did try to bring up a second strategy and view it while first strategy was optimizing, and I encountered issues. Unfortunately I was not able to quantify the issue well enough to report a cogent defect.

Regarding the link above, I am confused regarding what is exactly being described. The phrase "under different Windows user names" appears that you need to log into windows as 1 user, connect Wealth-Lab and start it running. Next "Start->Switch users" leaving the first user running and repeat the above process. Do I understand correctly? If my understanding is correct, then can multiple computers be simultaneously running Wealth-Lab each streaming data, under the same users connection?

Eugene

#4

7/15/2009 5:30 PM

Hi Bryce,

Although I'm not sure that it's desired and you really should be judging the application's performance by its CPU load -- considering that Wealth-Lab 5 backtests and optimizes several times faster than legacy versions did -- yes, this is a workaround that I was suggesting to utilize all of the 4 cores to max the CPU load.

Note that it's not possible to optimize on streaming data anyway, so for static data breaking a huge optimization task in 4 can be a reasonable workaround.

I remember that multi-core optimization was suggested to the software architects at Fidelity.

bgood

#5

7/15/2009 6:30 PM

I just attempted to run one optimization in the first workspace and a second optimization in a second workspace. Wealth-Lab crashed!

Eugene

#6

7/16/2009 1:43 AM

A crash is not good. Optimizing in 2 workspaces should work. Could you please share more details about the estimated optimization time, data loading settings and bar scale, number of runs, number of parameters etc?

bgood

#7

7/17/2009 8:44 PM

Hello Eugene,

First let me start by saying that I know the example is not exactly correct, but it demonstrates the defect. First get GOOG and BIDU 1 minute bars. Next optimize for 3 months of 30 Minute candles using the Monte Carlo method for Profit with 2000 runs and 10 tests (20000 total runs). With the program below, Wealth-Lab will stop crash in seconds.

CODE:
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Hello Eugene,

First let me start by saying that I know the example is not exactly correct, but it demonstrates the defect.  First get GOOG and BIDU 1 minute bars.  Next optimize for 3 months of 30 Minute candles using the Monte Carlo method for Profit with 2000 runs and 10 tests (20000 total runs).  With the program below, Wealth-Lab will stop crash in seconds.

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Indicators;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		private int StartBar = 20;
		private StrategyParameter _MacdSlowBars,_MacdFastBars,_MacdSignalBars,_PercentGain;
		private int MacdSlowBars = 26;
		private int MacdFastBars = 12;
		private int MacdSignalBars = 9;
		private double PercentGain = 0;
		
		public MyStrategy()
		{	
			_MacdFastBars = CreateParameter("MacdFast",12,2,200,1);
			_MacdSlowBars = CreateParameter("MacdSlow", 26, 2, 200, 1);
			_MacdSignalBars = CreateParameter("MacdSignal", 9, 2, 100, 1);
			_PercentGain = CreateParameter("PercentGain",2, 0.5,200,0.1);
		}
		
		void SetStartBar20Days()
		{
			switch(Bars.BarInterval) {
				default:	StartBar  = 20;						break;// 20 days/weeks/months, not interday
				case 1:		StartBar = (int)(20*6.5*60);	break;  // 1 minute
				case 5:		StartBar = (int)(20*6.5*12);	break;
				case 10:	StartBar = (int)(20*6.5*6);		break;
				case 15:	StartBar = (int)(20*6.5*4);		break;
				case 30:	StartBar = (int)(20*6.5*2);		break;
				case 60:	StartBar = (int)(20*6.5);		break;
			}
		}
	
		protected override void Execute()
		{			 
			MacdFastBars = _MacdFastBars.ValueInt;
			MacdSlowBars = _MacdSlowBars.ValueInt;
			MacdSignalBars = _MacdSignalBars.ValueInt;
			PercentGain = _PercentGain.Value / 100;  // make it a decimal equiv
			
			DataSeries Macd = MACDEx.Series( Bars, Close, MacdFastBars, MacdSlowBars );
			DataSeries MacdSignal = EMA.Series( Macd, MacdSignalBars, EMACalculation.Modern );
			
			ChartPane MACDPane = CreatePane( 50, true, true );
			PlotSeries( MACDPane, Macd, Color.Brown, LineStyle.Histogram, 2 );			
			PlotSeries( MACDPane, MacdSignal, Color.Black, LineStyle.Solid, 1 );
			
			SetStartBar20Days();
			StartBar = Math.Max(StartBar,MacdFastBars+MacdSlowBars+MacdSignalBars);  // sloppy but extra safe
			
			for(int bar = StartBar; bar < Bars.Count; bar++)
			{
				if( CrossOver( bar, Macd, MacdSignal ) & ( Macd[bar] < 0 ) ) {
					if (IsLastPositionActive) ExitAtMarket(bar+1, LastPosition, "Macd Cross Over");
					BuyAtMarket( bar+1, "Macd Cross Over" );
				} else if( CrossUnder( bar, Macd, MacdSignal ) & ( Macd[bar] > 0 ) ) {
					if (IsLastPositionActive) ExitAtMarket(bar+1, LastPosition, "Macd Cross Under");
					ShortAtMarket( bar+1, "MACD Cross Under" );
				} else	if (IsLastPositionActive) {
					if (LastPosition.PositionType == PositionType.Long) {
						SellAtLimit( bar, LastPosition, LastPosition.EntryPrice * (1+PercentGain), "Made Profit Target"  );
					} else {
						CoverAtLimit( bar, LastPosition, LastPosition.EntryPrice * (1-PercentGain), "Made Profit Target" );
					}
				}
			}
		}
	}
}
[/CODE]

Eugene

#8

7/18/2009 7:22 AM

First of all, sorry for not pointing you to the workspace-based multi-core optimization right from the start; glad you found it by yourself.

Thanks for the report. Would you mind creating a support ticket and providing some more information, such as:

How many RAM do you have installed?
Operating system?
Is it x86 or x64?
What about the /3GB switch, IncreaseUserVA parameter, the 4GB patch?

bgood

#9

7/18/2009 12:30 PM

I will be happy to create a support ticket. I am not a windows expert, so what is the easiest way to find out the /3GB switch, IncreaseUserVA, and 4GB patch?