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Here's a warning to any of you who might be thinking of taking a large
number of tickers and running a number back tests (not optimizations,
explorations nor scans) to generate some of the wonderful new statistics
(Sharpe Ratio, etc). And especially if you're running the "Individual" back
test!
Under the above scenario the back tester will create a subfolder in the
Amibroker\Reports folder for each run and when using the "Individual" back
tester a separate folder for EACH ticker. You need to be aware of this
especially if you are not looking at your Reports folder on a frequent
basis. The number of folders can become huge and the effects on your
computer can become severe! This is especially true if you use automation
to crank out untold numbers of back tests (are you reading this Herman?) to
generate statistics for each ticker.
I had this all figured out in advance and put in code to delete the folders
as my automated tests went along but I introduced a bug in that part of the
program and left a test running overnight on 2 computers. YIKES! When I
sat down this am to see what juicy results I might have gotten both machines
were locked up tight as a drum. One computer had 50,000 (yep 50k)
subfolders and the other had over 20,000 in the reports folder. Just
getting rid of them so I could get my machine back has taken a couple of
hours of watching the stupid hourglass move sand back and forth.
So - let this be a backtester emptor to those data miners out there!
One other thing - the creation/deletion of all of those folders when running
the individual back test can really slow down the computer. Based on one
test I dreamed up where I take 1,500 tickers and run a very intense series
of individual back tests over 10 years worth of data should take around 80
hours of compute time. And this is on a very fast computer. (Please save the
criticism on how off base this might be and how insane I am to do something
so complicated - My doctor has some new meds for me).
d
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