Stop order signal very slow in optimization
Posted: Oct 10 2007
Hi,
I've done some test to compare the optimization speed of Multichart vs TS.
I found that strategies (signals) with the keyword stop slows down Multichart drammatically.
Below is a simple test strategy. I ran it on a chart using symbol SPY with 2 years daily data (10/10/2007 with 2 years back).
{--------------------------------------------}
inputs:
Iteration( 10000);
Buy next bar highest(high, 20) stop;
Sell short next bar lowest(low, 20) stop;
{---------------------------------------------}
I ran the optimization with 10,000 iteration and found that Multichart optimization is a few times slower than TS. Note that I'm using a quad core machine. It takes 4 mins for MC to ran thru 10,000 iterations and only 1 min for TS to do the same.
In other tests when the keyword "stop" is not present MC outperforms TS 3.5x everytime.
Please find out what is happening.
I've done some test to compare the optimization speed of Multichart vs TS.
I found that strategies (signals) with the keyword stop slows down Multichart drammatically.
Below is a simple test strategy. I ran it on a chart using symbol SPY with 2 years daily data (10/10/2007 with 2 years back).
{--------------------------------------------}
inputs:
Iteration( 10000);
Buy next bar highest(high, 20) stop;
Sell short next bar lowest(low, 20) stop;
{---------------------------------------------}
I ran the optimization with 10,000 iteration and found that Multichart optimization is a few times slower than TS. Note that I'm using a quad core machine. It takes 4 mins for MC to ran thru 10,000 iterations and only 1 min for TS to do the same.
In other tests when the keyword "stop" is not present MC outperforms TS 3.5x everytime.
Please find out what is happening.