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Extremely slow test speed when I use Multi-TF/Sym, M1 precision

Hello,



I built several strategies with Multi-TF/Symbol, Selected TF only mode.
and then, moved all strategies to retester, started to retest it using 1M precision.


Oh, every single strategy needs more than hours! (10 hours or more sometimes)
I have started it yesterday, but now just 50 strategies are finished out of 400 strategies.
Extremely slow.
Please see the log pasted in here below.


And I reported this few weeks ago, but it is not reviewed yet. This same problem is still exist on this new beta version of SQ4.

https://roadmap.strategyquant.com/tasks/sq4_0458





================== LOG ====================
11:32:53.983 - Starting strategies retesting...
12:19:02.374 - Tested Strategy 9.0.6926 - OK - 2768.0410 s.
12:34:45.065 - Tested Strategy 1.0.495 - OK - 3710.8400 s.
12:40:56.096 - Tested Strategy 7.0.951 - OK - 4081.9640 s.
12:56:37.113 - Tested Strategy 12.0.2039 - OK - 5022.7250 s.
13:01:06.685 - Tested Strategy 8.0.4357 - OK - 5292.4880 s.
13:47:25.867 - Tested Strategy 3.0.5263 - OK - 8071.6380 s.
13:55:31.894 - Tested Strategy 4.0.5328 - OK - 8557.7590 s.
14:06:35.381 - Tested Strategy 2.0.2852 - OK - 9220.9520 s.
14:22:31.027 - Tested Strategy 8.0.459 - OK - 10176.8730 s.
14:43:35.702 - Tested Strategy 3.0.208 - OK - 11441.3260 s.
15:09:34.329 - Tested Strategy 4.0.3269 - OK - 13000.0540 s.
15:10:00.228 - Tested Strategy 1.0.1381 - OK - 13026.0650 s.
15:26:20.485 - Tested Strategy 4.0.4215 - OK - 14006.2440 s.
15:28:06.552 - Tested Strategy 0.0.7726 - OK - 14112.3940 s.
15:34:18.963 - Tested Strategy 5.0.5966 - OK - 14484.5890 s.
15:39:43.741 - Tested Strategy 4.0.6871 - OK - 14809.5980 s.
15:47:31.418 - Tested Strategy 4.0.2073 - OK - 15277.1870 s.
16:07:01.251 - Tested Strategy 0.0.2057 - OK - 16447.0000 s.
16:12:40.898 - Tested Strategy 1.0.5983 - OK - 16786.7150 s.
16:22:11.494 - Tested Strategy 0.0.6896 - OK - 17357.2890 s.
16:35:25.810 - Tested Strategy 10.0.3816 - OK - 18151.5530 s.
16:38:36.954 - Tested Strategy 3.0.7109 - OK - 18342.7730 s.
16:41:14.389 - Tested Strategy 3.0.6110 - OK - 18500.0680 s.
17:10:57.069 - Tested Strategy 12.0.4225 - OK - 20282.6720 s.
17:39:35.942 - Tested Strategy 2.0.1408 - OK - 22001.6350 s.
18:39:20.398 - Tested Strategy 0.0.2262 - OK - 7242.9790 s.
19:04:22.597 - Tested Strategy 11.0.7536 - OK - 8745.2130 s.
19:06:35.364 - Tested Strategy 3.0.6135 - OK - 27221.2270 s.
19:15:24.291 - Tested Strategy 5.0.4745 - OK - 27750.0790 s.
20:07:57.898 - Tested Strategy 11.0.7332 - OK - 30903.7060 s.
20:40:13.898 - Tested Strategy 5.0.2470 - OK - 14496.7170 s.
20:49:42.003 - Tested Strategy 12.0.2275 - OK - 15064.8240 s.
21:14:09.784 - Tested Strategy 8.0.7757 - OK - 34875.4170 s.
21:56:36.272 - Tested Strategy 11.0.7013 - OK - 19079.0940 s.
22:06:05.094 - Tested Strategy 11.0.5021 - OK - 37990.7940 s.
22:44:46.837 - Tested Strategy 0.0.775 - OK - 21969.7360 s.
22:55:42.839 - Tested Strategy 1.0.186 - OK - 22625.5770 s.
01:20:54.586 - Tested Strategy 12.0.6500 - OK - 31337.3280 s.
01:32:11.537 - Tested Strategy 11.0.6102 - OK - 32014.1930 s.
01:45:08.854 - Tested Strategy 6.0.4707 - OK - 32791.7500 s.

....


===============================================


Please check this problem. Thank you.



Malim

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  • Votes 0
  • Project StrategyQuant X
  • Type Bug
  • Status Fixed
  • Priority Normal

History

k
#1

rnd_7378f217b90kkk

20.10.2017 20:03

Task created

MF
#2

Mark Fric

21.10.2017 10:20
could you post one or two of these super slow strategies here? I'll investigate what makes them so slow
k
#3

rnd_7378f217b90kkk

22.10.2017 13:50
https://drive.google.com/file/d/0ByG5dCxaG2-beGR1N29nelBzSE0/view?usp=sharing


This is my google drive link that has sample strategies for this problem..

Detailed configuration for symbol and timeframe is included as a text file.


And.. This is latest log I got from retest. 80 strategies out of 400 are tested until now, and latest retest takes more than 1 day for single strategy retest. :(

I used asirikuy-30-years-dataset to retest it.


Please copy and paste the strategies I shared to you again and again to make the pool more than 100 strategeis, and then try to retest it using that pool.

You probably find that the time spent for retest same strategy(with different name) is increasing..


This is my latest log on SQ4 retester.


09:54:43.838 - Tested Strategy 5.0.5991 - OK - 57095.4130 s.
12:36:44.195 - Tested Strategy 5.0.6744 - OK - 66815.8590 s.
14:30:43.686 - Tested Strategy 12.0.5005 - OK - 73655.2630 s.
15:11:23.410 - Tested Strategy 7.0.7659 - OK - 76095.0310 s.
16:38:53.165 - Tested Strategy 5.0.2277 - OK - 81344.8350 s.
18:45:07.743 - Tested Strategy 5.0.6962 - OK - 88919.3150 s.
19:58:37.570 - Tested Strategy 12.0.4116 - OK - 93329.1430 s. --> 25 hours!


Malim

MF
#4

Mark Fric

08.11.2017 16:11

Status changed from New to Fixed

i believe I identified the problem, it was caused by trading option - specifically when checking for maximum of daily trades.
This option wasn't implemented efficiently in SQ, I fixed it.


It should be fast also if you set Maximum Trades Per Day = 0, bypassing this check.

k
#5

rnd_7378f217b90kkk

09.11.2017 04:09

Oh, It is completely fixed. all the strategies are finished its retest within 500 secs.

Thank you Mark!

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