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Thomas and Herman:
Thanks for your replies and Herman, for some very good and specific
suggestions.
I am trying to automate in AB a manual (Excel based) system that has had a
CAR over 15% for every year since 2000, and has done so ranking all symbols
in a database in spite of logic that would say that it should work with
fewer symbols being studied. Thus, my going in position has been to try and
rank all symbols. Fall back would be doing some of the things you suggested
Herman, once I "prove" I can not find a way to do all of them.
Fputs and fgets may be a way for me to handle this--that is, save my ranking
score in an external file rather than in the OI field.
Something new to learn more about.
Ken
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Thomas Z.
Sent: Tuesday, July 08, 2008 10:59 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] What is your Largest AFL file?
Hello Ken,
My system framework includes 4800 lines. A Backtest over my complete futures
portfolio (41 symbols) takes approximately 30 seconds.
So there are no problems also even with a large amount of code lines.
However it also depends on the type of calculation that your code does and
as Herman already mentioned you can increase the speed by reducing
unnecessary calculations.
Thomas
www.PatternExplorer.com
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Ken Close
Sent: Tuesday, July 08, 2008 4:01 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] What is your Largest AFL file?
A side question is this: what is the largest practical AFL file ever created
that runs and is used regularly?
Obviously a hard question to answer (what is yours in terms of number of
lines or number of symbols operated on). We talk about memory and multiple
cores, and speed, etc, I will bet primarily in terms of optimization speed.
But what about just a large number of symbols and a large number of
calculations and variables? That is what my question is aimed at.
If you are wondering why this question, here is a brief background: all of
my recent postings have been because I am trying to work my way towards
implementation of what seems like a very large system. I want to calculate,
for each and every symbol, a ranking indicator or value really. I want to
use the "ordinal value" approach that I have recently been asking about.
Creating these ordinal values consumes a LOT of processing time and
calculations etc. I would like to do this on 1000s of symbols (maybe the
entire database) but may have to settle for some subset, perhaps only in the
hundreds. But that is only the first step.
After having these calculated values, I thought I would save them into the
OI field of each symbol. Then, separately, I would create an elaborate
rotational trading system, with a variety of parameters, and which would use
the ordinal ranking parameter I had previously calculated and saved into the
OI field. The rotational trading system, I am estimating, would take a lot
of statements and need to keep track of a lot of information, and that would
be before attempting any opimization of the trading parameters. I am
guessing that the rawbacktester mode is required.
If separating the ranking calculation and saving it into the OI field is a
problem (because of the interplay between local storage vs plugin access
that I asked about in another message), then I could consider putting
everything (I mean everything) into one humongous AFL file. Calculate
ordinal rankings, keep them in their variables (by symbol) and then go right
into a rotational trading routine, all in the same code file. I suspect it
would either overload memory, or would take days of continual running to
complete.
That is why I asked what is the largest code file you have ever made. Maybe
my quest is a futile one, but I am still plowing along.
Thanks for listening.
Ken
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