WF Matrix Cross Check in Re tester Does Not Work - will not run

Watch the Log window and task manager CPU usage as you run the WF Matrix Cross check.



CPU usuage is all over the place, log window wont progress to optimization stage, basically WF Matrix cross check doesn't run.


Config and example strategy attached.

Attachments
Broken Corss Cheeck WF Matrix.cfx
(3.16 KiB)
Strategy 1015421 - broken cross cehck wf matrix.sqx
(8.94 KiB)
  • Votes +1
  • Project StrategyQuant X
  • Type Bug
  • Status Refused
  • Priority Normal

History

N
#1

nathan

28.01.2019 16:02

Task created

N
#2

nathan

28.01.2019 17:43
Here is a video: https://www.dropbox.com/s/sipa1d9z7bztl19/Broken%20WF%20MAtrix%20Retester.mov?dl=0


It has been running for an hour, with zero progress, and processor usage stuck on around 20%, and no updates in log screen.


Hit stop, and all of a sudden it is actually around 90% complete. It doesn't stop as requested and, processor jumps to 100% utilization and it finishes the remaining 10% using 100% of the processor.


Yet, if you actually go into the strategy result, no contain any walk-forward / matrix result whatsoever.


Is it perhaps related to this bug: https://roadmap.strategyquant.com/tasks/sq4_4024



a
#3

Ash24FX

28.01.2019 18:13
Voted for this task.
N
#4

nathan

29.01.2019 07:24

Attachment No Progress.jpg added

Left it running all night and no progress at all, CPU is busy (ish) but SQX never progresses...see screen shot
MF
#5

Mark Fric

29.01.2019 12:22

Status changed from New to Refused

the probem in this case is that WF Matrix optimization takes a very long time - so long that it is not finished even after few hours.


I modified the Retester and its optimizations, it should now work more effectively - use all available CPU, and test strategies sequentially, so there should be a progress.


But the main problem is that you use Real tick precision, and 20.000 maximum tests for WF matrix. With my data, one backtest with real tick precision takes at least 10 second, so that would make 20.000 x 10s = 200k secs, which is about 55 hours only for one strategy with WF Matrix to be finished. I would recommend using lower precision when you also use WF optimizations, and also lower max. tests to 5-10.000

N
#6

nathan

29.01.2019 13:18
This is absolutely not the case. The problem occurs if you use 1 optimisation or 20000. Or if you use simulated or real tick.

It has nothing to do with how long it might take. Besides, it DID work in the past.


It is broken. Sorry. It will not run. Period.

N
#7

nathan

29.01.2019 13:18
This is absolutely not the case. The problem occurs if you use 1 optimisation or 20000. Or if you use simulated or real tick.

It has nothing to do with how long it might take. Besides, it DID work in the past.


It is broken. Sorry. It will not run. Period.

MF
#8

Mark Fric

29.01.2019 15:14
as I said, we fixed a few things. I tested it with your config and it works for me now.


But the main reason with the attached config was the big precision and related slowness - it would take several hours to finish just one strategy, and you are retesting 44 of them.

N
#9

nathan

29.01.2019 18:39
If it works now in 118 that great news.


how long it takes I dont mind - those 44 strategies are the output of 4 weeks custom project running non stop.

N
#10

nathan

29.01.2019 20:31
Just to make certain we are on the same page here. I am talking about the WF Matrix crosscheck in the Restester. Even with 1 strategy, 100 optimizations, it wont run, never completes, even after 8 hours. It should take 16 minutes based your calculations above. I am running a machine with 60 cores. This crosscheck works only if you selected selected time frame or 1 min tick simulation. Any other tick detail level will not work.  It will in the optimizer module (sometimes), and completes relatively quickly when it does but it depends if you can get it to hookup and start in the first place. In the re tester module it will never hookup and start using tick level data.

Votes: +1

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