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Hi Dimitris,
I'm using your Relative Slope system, and I thank you for this
wonderful gift to the group.
Everything is working well with the system, except that my NYSE database
is too large to be practical to use with the Optimization feature. This
is because the total continuous optimization time is approximately 72
hours or 3, 24 hour days. With the Optimization system requiring
4851 tries, at the approximate half way mark, the actual optimization
time is 90 seconds/ticker, and the time between starts at 8 seconds &
getting longer (this latter time is the time between the end and
beginning of the next run). I assume it is AB finding the next
"try" information). This timing was done on a 900MHz P4, a
subset of the total record set accomplished by making a "scan"
for upper and lower price limits which were stored as a WATCH LIST
(around 2300 tickers), and maximum data record length of 3-1/4
years.
It is obvious to me that the total time requirement for the Optimization
run is around 72 hours, or three continuous days.
In thinking over what would help, I believe that a ticker reduction
scheme would be an asset. That is to say, make a preliminary
"SCAN" to reduce the number of tickers. Make a "Watch
List" of the result, and make the Optimization run on the Watch
List. It might be some scheme to eliminate "1 out of X" tickers
or possibly be made "random" rather than sequential. I
donno!
Could you, or anyone else interested, get me started in developing this
type of routine?
Any assistance would be greatly appreciated.
Regards,
Hal
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