Strategy working slower than other

gbullr

#1

3/7/2011 9:51 PM

The following strategy compiles fine. When I run a backtest on dataset it takes about 10x as long to spit out and answer than my other ones yet it does not seem that complex.

Thoughts? Improvements? Thanks

CODE:
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The following strategy compiles fine. When I run a backtest on dataset it takes about 10x as long to spit out and answer than my other ones yet it does not seem that complex.

Thoughts? Improvements? Thanks

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		StrategyParameter strategyParameter1;
		StrategyParameter strategyParameter2;
		StrategyParameter strategyParameter3;
		StrategyParameter strategyParameter4;
		StrategyParameter strategyParameter5;
		
		public MyStrategy()
		{
			strategyParameter1 = CreateParameter("Atr Move", 2, 2, 10, 2);
			strategyParameter2 = CreateParameter("SL", 2, 2, 10, 1);
			strategyParameter3 = CreateParameter("PT", 2, 2, 10, 1);
			strategyParameter4 = CreateParameter("SMATar", 15, 5, 25, 5);
			strategyParameter5= CreateParameter("SMATar", 3, 2, 8, 1);
		}

protected override void Execute()
		{
			int period = 50;
			DataSeries Atr = ATR.Series(Bars,20);
			//Bars spx = GetExternalSymbol (".spx",true);
			DataSeries distri = new DataSeries(Bars, "Crossing=1");
			DataSeries sma = SMA.Series(Close,50);
			PlotSeries (PricePane, sma, Color.BlueViolet,LineStyle.Solid,2);
			
			
			for(int bar = 60; bar < Bars.Count; bar++)
			{
				if (Close[bar] < Close[bar-1] - strategyParameter1.ValueInt *Atr[bar] )
				{
					distri[bar] = 1d;
				}
				
			}
				// Now here's the indicator that counts the crossings for the last rolling month (21 days of trading)
				DataSeries distridays = Sum.Series(distri, 200);
				distridays.Description = "DistriDays count in last month";
			
				// Plots the count and sma
				ChartPane cp = CreatePane(40, true, true);
				PlotSeries(cp, distridays, Color.Blue, LineStyle.Histogram, 2);
						
				
			
			
			for(int bar = 201; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					
					{
						double Stop = p.EntryPrice * (1 + strategyParameter2.ValueInt / 100.0d);
						CoverAtStop(bar + 1, p, Stop, "Group2");
					}
					if (p.EntrySignal.Contains("Group1|"))
					{
						double Target = p.EntryPrice * (1 - strategyParameter3.ValueInt/ 100.0d);
						CoverAtLimit(bar + 1, p, Target, "Group1");
					}
				}
				else
				{
					if( CrossOver(bar,Close,sma*(1+strategyParameter4.ValueInt/100d)) && distridays[bar] >= strategyParameter5.ValueInt 
						&& Close[bar]>10)
						ShortAtMarket(bar+1,"Group1|Group2");
				}
			
			
			
			}
			
							
		}
	}
}[/CODE]

Eugene

#2

3/8/2011 4:18 AM

Here's your problem:

CODE:
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And here's the fix:

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gbullr

#3

3/13/2011 5:42 PM

Tks.

gbullr

#4

5/17/2011 12:16 PM

I have the same problem w/ this one even though I have not committed the same mistake as I have on the one above. Thoughts/Help?

Thanks.

CODE:
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I have the same problem w/ this one even though I have not committed the same mistake as I have on the one above. Thoughts/Help?

Thanks.

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{

StrategyParameter strategyParameter1;
		    StrategyParameter strategyParameter2;
		//    StrategyParameter strategyParameter3;
		//    StrategyParameter strategyParameter4;
		//    StrategyParameter strategyParameter5;
		public MyStrategy()
		{
			strategyParameter1 = CreateParameter("ATR per", 6, 3, 10, 1);
			    strategyParameter2 = CreateParameter("Per", 25, 10, 75, 5);
			//    strategyParameter3 = CreateParameter("SL", 9, 6, 12, 1);
			//    strategyParameter4 = CreateParameter("PT", 5, 3, 8, 1);
			//    strategyParameter5 = CreateParameter("SALTarget", 5, 3, 8, 1);
		}
       
              
		protected override void Execute()
		{
			int SDIndx = strategyParameter2.ValueInt, LDIndx = 200, SDStok = 60, SMALookBak = 5;
          
			Bars external = GetExternalSymbol("^STOXX", true);
			DataSeries exshortsma = SMA.Series(external.Close, SDIndx);
			DataSeries exlongsma = SMA.Series (external.Close, LDIndx);
			DataSeries exlongsmalb = SMA.Series (external.Close, LDIndx);
			DataSeries rocex = ROC.Series(external.Close,5);
			DataSeries lowtrig = Lowest.Series(Close,60);
			DataSeries volsma = SMA.Series(Volume,60) * 2;
      
          
			ChartPane pane1 = CreatePane(25,true,true);
			ChartPane pane2 = CreatePane(25,true,true);
			PlotSeries (pane1, exshortsma,Color.Red,LineStyle.Dashed,2);
			PlotSeries (pane1, exlongsma,Color.Blue,LineStyle.Dashed,2);
			PlotSeries (pane2, rocex,Color.Orange,LineStyle.Dashed,2);
          
			//PlotSymbol(pane1, GetExternalSymbol(".SPX", true), Color.Black, Color.Black);

for(int bar = 212; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
                  
					if (//CrossOver(bar,exshortsma ,exlongsma))
						CrossOver(bar,rocex,5))
                        
						//exshortsma [bar] > exlongsma [bar])
                      
					{
						CoverAtMarket(bar + 1,LastPosition, "");
					}
                   
					if (p.EntrySignal.Contains("CU"))
					{
						double Stop = p.EntryPrice * (1 + strategyParameter1.ValueInt/ 100.0d);
						CoverAtStop(bar+1 , p, Stop, "Group2");
                       
					}
                   
				}
				else
				{
                              
					if (//CrossUnder(bar, exshortsma, exlongsma) ||
						exshortsma[bar] < exlongsma[bar]
						&& CrossUnder(bar,Close,lowtrig[bar-1])
						&& Volume[bar] > volsma[bar]
						&& exlongsma [bar] < exlongsma [bar - SMALookBak]
						&& Close [bar] > 20)
					{
						ShortAtMarket(bar + 1, "CU");
					}

}
			}
		}
	}
}[/CODE]

Eugene

#5

5/17/2011 12:28 PM

For sure, it is a different, unrelated problem.

The more clearly you identify the key components of your environment as per this checklist and describe the problem, the more effective will be our help.

Cone

#6

5/17/2011 5:21 PM

After creating a symbol for ^STOXX in a Y! DataSet, the script runs pretty fast for me (about 200msec on 2500 bars).

Eugene

#7

5/17/2011 5:31 PM

Good hint Robert, that might be another case of synchronicity in the form of a previously resolved issue (here; post by wbzhang dated 5/17/2011 3:54 PM).