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[amibroker] Re: Freakishly fast backtest using 64 cores



PureBytes Links

Trading Reference Links

NVIDIA  is still going to be around into the future?

(My last four computers have been Dell, because I regard them as 
middle of the road, value for money ....if they are using GeForce?)

So given that Tomasz isn't going to go bleeding edge/niche this 
solution could remain ahead of the pack for quite a while....even if 
MS approach becomes mainstream and adopted by AB?

brian_z


--- In amibroker@xxxxxxxxxxxxxxx, "brian_z111" <brian_z111@xxx> wrote:
>
> DL
> 
> 
> I am following at the top level and understand what you are doing 
OK 
> (you make me wish I had learnt programming/IT).
> 
> I like your CPU.
> 
> Allowing niche trading is what AB is all about?
> 
> I'll put my money on MS/"general purpose computing on GPU" - I 
don't 
> think the masses are in love with MS but for 80% of people who can 
do 
> 80% of what they want with MS the price to move elsewhere is too 
> high - they are just in love with max output for min input.
> 
> If you go to the trouble to write a plug-in do you think it will be 
> around long/require much ongoing support from you?
> 
> I can see the benefits of the speed - for a group of traders it is 
a 
> definite edge they would have for a year or two (I don't think any 
> other trading software will be seeing this for a while? - 
especially 
> in the AT area where more crunching could be done fast enough to 
keep 
> up with live data.
> 
> I don't blame Tomasz for not sitting his backside on the cutting 
> edge - too dangerous for developers with long term clientele.
> 
> Not having a go at Tomasz - to clarify - Tomeasz said GEForce 8800 
> can't be put in a notebook?
> 
> To my understanding there seems to be a reasonable number of 
laptops 
> around that could use your method e.g. Dell has 3 off the shelf 
> laptops in their entertainment/performance range that use GeForce 
> 8600M and 8700M with 256MB & 2*2456MB (min 256 required for CUDA?)
> 
> I looked at the GeF links in Paul's post but they didn't have much 
> specific info there that I could see - I assume the above cards 
wiil 
> run your system.
> 
> I am not a buyer for now but good luck with it and what you have 
done 
> already is a good contribution to AB - once someone on the block 
has 
> a new super-dooper gadget pretty soon the neighbours want one too 
and 
> demand grows.
> 
> brian_z
> 
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@> wrote:
> >
> > This uses the mid range video card that happened to come with my 
> > system, a 9800GT.  The newer 260 and 280 cards are 3 to 4 times 
> > faster.  The 260 can be found at best buy for $300.  Some laptops 
> > have compatible cards as well. 
> > 
> > The video card has its own memory, mine has 512MB, some have as 
> much 
> > as 1GB.  This memory is very fast, once it is loaded from the 
main 
> > system.  Nvidia has a professional line of products that have 
much 
> > more memory.  
> > 
> > Get get the best performance, my AFL code makes one pass over the 
> > data, calling a Dll.  The Dll takes all of the data needed by the 
> > calculation and loads a copy to the video card.  This upload is 
> slow, 
> > the entire upload takes about 45 seconds for all 1000 symbols. 
> > 
> > Once all of the data is uploaded, the Dll loads a "kernel" into 
the 
> > graphics cores that perform the actual computation and generates 
> the 
> > trade list.  This part is very fast and performs all of the same 
> > functions that my AFL version does.  The resulting trade list is 
> the 
> > same.  
> > 
> > Because the data loaded into video memory, it can be resused for 
> many 
> > passes over the data with different optimization values.  So, 
> > hundreds of combinations of optimization values can be tried per 
> > second.  
> > 
> > For non optimization runs, the Dll just loads one symbol into 
video 
> > memory and processes it.  Counting the overhead of moving data to 
> the 
> > video card and extracting the trade list for a single symbol, the 
> > result is similar to AFL code alone.  This lets me test the code 
> and 
> > make sure it is correct.
> > 
> > This approach works best when the data only needs to be loaded 
> once, 
> > then "resused" many times.  It also works best when there is a 
lot 
> of 
> > data to work with. 
> > 
> > What is more interesting to me and what would be more useful for 
> > others would be a general drive that requires no Dll changes to 
> > modify the system.  The performance would not be as good as hand 
> > optimized code, but would still be much better than AFL code 
> alone.  
> > It would take trading system design to a whole new level.  It 
would 
> > provide enough performance to make working with Intra day data as 
> > easy as daily data is today.
> > 
> > Writing such a driver would be hard, but I have already done some 
> > prototypes and design work.  I am tempted to do it for my own 
use.  
> > If I made it available to others supporting it would be a PITA.  
> > 
> > 
> > 
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "Paul Ho" <paul.tsho@> wrote:
> > >
> > > I'm very interested
> > > could you elaborate a bit more
> > > What model of Nvidia chipset are you using, and with how much 
> > memory?
> > > Not sure exactly what you mean when you say
> > > It uses AmiBroker to load the symbol data and perform 
> calculations 
> > > that do not depend on the optimization parameters. Once loaded 
> into 
> > > video memory, repeated passes can be made with different 
> > parameters, 
> > > avoiding any overhead. 
> > > Can you give me some examples. I presume when your dll is 
called. 
> > AB passes
> > > one or more arrays of data belonging to 1 symbol, is that true?
> > > Not sure exactly what the rest mean either. How many functions 
> are 
> > you
> > > running in your dll, and what does each of the do?
> > > Great of you to share your insight.
> > > Cheers
> > > Paul.
> > >  
> > > 
> > > 
> > >   _____  
> > > 
> > > From: amibroker@xxxxxxxxxxxxxxx 
> [mailto:amibroker@xxxxxxxxxxxxxxx] 
> > On Behalf
> > > Of dloyer123
> > > Sent: Tuesday, 5 August 2008 9:19 AM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Freakishly fast backtest using 64 cores
> > > 
> > > 
> > > 
> > > Greetings,
> > > 
> > > I ported part of my AFL backtest code to a plugin, that takes 
> > > advantage of the graphics math cores on the video card that are 
> > > normally used for 3d graphics. 
> > > 
> > > I was able to get a several thousand fold performance 
improvement 
> > > over AFL code alone.
> > > 
> > > My goal was to reduce the 25 seconds AFL code alone uses for a 
> > single 
> > > portfolio level back test to less than 1 second, allowing multi 
> day 
> > > optimization and walkforward runs to complete in a more 
> reasonable 
> > > time, and also just to see how fast I could get it to run.
> > > 
> > > The backtest runs over 1 year of 5 minute bars for about 1000 
> > > symbols. 1 year of data normally takes 25 seconds for AmiBroker 
> > > alone, or 18 seconds for 6 months of data. A typical 
optimization 
> > > run takes hundreds of these passes per walk forward step, 
taking 
> > > hours.
> > > 
> > > Using the Nvidia CUDA API, running on my mid range video card. 
It 
> > > was much faster. Much, much, much faster. How fast?
> > > 
> > > It reduced the run time from 25s to... 4.4ms. That is more than 
> > > 200/s! 
> > > 
> > > I didnt believe the timing when I saw it at first. So, I put 
> 1,000 
> > > runs in a loop and sure enough, it ran 1,000 iterations in 
about 
> 4 
> > > 1/2 seconds. This far exceeded my gaol or expectations.
> > > 
> > > The resulting trade list matches that obtained by the AFL 
version 
> > of 
> > > this code. 
> > > 
> > > I estimate that it is processing 32GB of bar data/sec.
> > > 
> > > Getting this to work at peak performance was tricky. Most of 
what 
> I 
> > > have learned about code optimization does not apply. 
> > > 
> > > It uses AmiBroker to load the symbol data and perform 
> calculations 
> > > that do not depend on the optimization parameters. Once loaded 
> into 
> > > video memory, repeated passes can be made with different 
> > parameters, 
> > > avoiding any overhead. 
> > > 
> > > For non backtest/optimization runs, the code just evaluates one 
> > > symbol and passes the data back to AmiBroker 
buy/sell/short/cover 
> > > arrays, making it easy to test, validate and visualize the 
> trades. 
> > > There is very little performance gain in this case. 
> > > 
> > > There are problems, however. To run optimizations at peak 
speed, 
> I 
> > > can not use AmiBroker to calculate the optimization goal 
> function. 
> > > So, I am in the process of writing code to match signals and 
> > > calculate the portfolio fitness function. Once I do this, I 
will 
> be 
> > > able to perform full optimizations and walk forwards at 3 
orders 
> of 
> > > magnitude faster than is possible with AmiBroker alone.
> > > 
> > > Also, this is not general purpose code. Changing the system 
code 
> > > means changing a dll written in C. However, there is no reason 
> that 
> > > this could not be made more general. 
> > > 
> > > I have made some prototypes of "Cuda" versions of basic AFL 
> > > functions. The idea is to queue the function calls into a 
> > definition 
> > > executed by a micro kernel running on the graphics cores. The 
> > result 
> > > would be the ability to use the full power of the graphics 
cores 
> by 
> > > modifying AFL code to use Cuda aware versions with no changes 
to 
> C 
> > > code. It would be an interesting, but big project.
> > >
> >
>



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