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                                                   Optimization Speed Issue

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Dave W.
2013-11-18 18:25:23


Hi. I'm trying to optimize an intraday trading system and the performance is very slow, so I'd like some suggestions on how to speed up the performance. The multi-core optimization option is turned on. A few specific questions:

1. My source data (in the QS database) is 1 minute bars, but the system I'm testing is setup to test 10 minute bars. Would the system test / optimization be faster if I imported 'prebuilt' 10 minute bars into the QS DB? Is it a big performance 'hit' for QS to have to build 10 minute bars from 1 minute bar data?

2. A single test of the system with no optimization takes between 30 - 45 seconds. But when I optimize a single variable (the RSI entry level), the first optimization iteration takes under a minute, but each subsequent optimization iteration takes a huge amount of time - I'm 25 minutes into an optimization right now, and only 3 iterations have been run (and the first one took under a minute)! Any ideas on what might cause this behavior? My system specs are below; fairly robust. It looks like the hard disk is the bottleneck (100% read usage for minutes at a time), but I don't know why the HD would be working so hard for so long when I have available RAM.


For context, I'm running Windows 8 on a 6-core i7 with 12 GB of RAM, 1 TB HD at 7200 RPM. I'd welcome performance suggestions that are germane to the specific issues I mentioned above.

Thanks for your help.



Dave W.
2013-11-18 20:14:25

  0

One update - while running the optimization mentioned above, I've validated that I have about 40% of memory available (about 5 GB), and QuantShare is showing numerous hard faults (page swaps) in the Windows 8 resource monitor. No other applications are showing hard faults, so they aren't contributing to the issue. The disk monitor also shows QS hitting pagefile.sys.

Appreciate your suggestions...



QuantShare
2013-11-19 12:01:20

  0

Hi,

Are you running the 64bit version?

1/ Is it a big performance 'hit' for QS to have to build 10 minute bars from 1 minute bar data?

No

2/ I don't know why the HD would be working so hard for so long when I have available RAM.

You can specify whether to read data from the hard drive or store them into memory (Accounts -> Application Settings -> Memory Management -> Load quotes...).
Please let me know if you trading system uses a lot of money management code?
Did you try with a very basic trading system? What about the performance?





Dave W.
2013-11-20 01:45:42

  0

Hi. To answer your questions first...

Yes, I'm using the 64-bit version.
Yes, my configuration is setup to load quotes into memory.
Yes, the system I was trying when I had the performance issue used a bunch of money management code.

I ran an optimization on the same time period and symbols but using a simple system with no money management code. This worked well -- it took 8 minutes to run through 400 iterations. Very reasonable. So I guess that means the issue is with one of the money management scripts or one of the custom functions used in the first system I tried to optimize. I'll try to pinpoint which one...

Thank you.



Dave W.
2013-11-30 19:31:32

  0

Best Answer
For anyone who experiences a similar issue, in my case the problem was a custom built MM script with a bunch of metrics / calculations. When removed, the optimization worked fine.


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