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Title: Re: [amibroker] Re: What is your Largest AFL file?
Mike, did you ever try to code this to include different data bases (US, CAN, ASX, SGX, etc.) ?
That would really be nice... dreams never end ;-)
thanks,
herman
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Wednesday, July 9, 2008, 4:25:32 AM, you wrote:
> Ken,
> For about a year now, I have been running a nightly exploration over
> all symbols of AMEX, NASDAQ, NYSE combined. The script itself applies
> logic to reject low liquidity stock, etc. and is applied to all
> stocks, rather than preprocessing a watchlist. The script is
> currently under 100 lines and completes in around 10 minutes (don't
> remember exactly, I stopped paying attention a long time ago).
> Optimizing that same script over 108 iterations takes anywhere from
> 9 - 13 hours depending on the machine/memory (strictly low end
> equiptment - Pentium 4's). Doing a walk forward of any meaningful
> length would take days, except that I split the load over multiple
> machines.
> In an earlier incarnation, I had been writing out to composite
> symbols in order to retain a sorted rank of PositionScore based on
> all symbols scanned, not just ones that resulted in trade signals. I
> then made reference to those rankings within my custom backtest code
> to filter out signals that would not have occured due to no limit
> order actually having been placed
> (http://finance.groups.yahoo.com/group/amibroker/message/114739).
> Ultimately, that proved to be prohibitively expensive (at least as
> implemented, Thomasz had an alternate approach that was much faster
> at the cost of altering the strategy logic), taking over 30 minutes
> for an exploration. Optimizations were frustrating and impractical,
> leading to my eventual purchase of many cheap low end machines to
> farm out the load. Walk forward would have been out of the question.
> Fortunately, I was able to change the money management aspect of the
> system and move away from fixed number of positions. It's been
> trading profitably ever since :)
> Building on Herman's excellent suggestions, I would add that low end
> machines (1.6 Ghz) can be had for under $150 these days (I got lucky
> on eBay, paying $65 each for 7 of them!). Having a small farm allows
> you to spread the load of a single walk forward (i.e. each machine
> handling a different time period) or to backtest/optimize multiple
> different versions of your strategy at the same time.
> Mike
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@xxx> wrote:
>> 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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