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Hey Fred: I am not sure that I understand your comment.
If you are talking about auto trading, not sure. I use Tradestation
for that. It is fast, cheap if you have any trading volume, and
solid. It does not need much horse power to run. Not a very good
optimization plaform.
For optimization, it seems to me, that the problem is inherent in the
problem domain, not just due to limitations or implementation details
of a specific tool.
In Pardo's new book, he observes that the hedge funds build custom
solutions that are much faster and more powerful than anything
available to the retail invester. It can be done with a room full of
unix servers, or the same power can now be acheived at best buy for
$150. Got to love the power of the video game market.
--- In amibroker@xxxxxxxxxxxxxxx, Fred Tonetti <ftonetti@xxx> wrote:
>
> It may well have a need for speed but unless I'm missing something
( and I
> may well be ) this only really has application with the currently
structured
> AB in optimization .
>
>
>
> _____
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of brian_z111
> Sent: Monday, August 11, 2008 11:52 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Freakishly fast backtest using 64 cores
>
>
>
> It is generally the case, for AB, that the user base is relatively
> small, and there are competitors for that $pool, plus, Tomasz can,
> and is entitled to, include his version of a competing feature at
any
> time in the future and in the manner of his choosing.... so the rug
> can slip out from under any third party app that is aligned to core
> features.
>
> Real Time AT seems one place that has a need for speed.
>
> (I don't know that the majority of AB users are EOD - there are
over
> 1000 users in the AT forum).
>
> If using the GPU was a solution for AT how many of those who are
> using AT right now would have the chutzpah to look after it
> themselves, at the code level.......not many I think.
>
> Those with the chops can already make their own solutions based on
> your pathfinding efforts?
>
> > I am not opposed to creating an open source project for this. It
> > might use parts of the code base I have now, such as the trade
> >match
> > code, but would need a very different calculation core.
>
> That is the litmus test.
>
> How many will come forward now and sign their name on the dotted
> (forum) line?
>
> Don't be disapointed if they don't - maybe they will take the view
> that Intel/MSFT will soon move this into the mainstream OR make
> quantum leaps on processing speed via other mainstream solutions?
>
> brian_z
>
> --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "dloyer123" <dloyer123@> wrote:
> >
> > TJ is right. The number of AmiBroker users that are hard core
> enough
> > to need this AND willing to pay for it is proably much too small
to
> > justify the time involved for a comercial project.
> >
> > It is not really needed for EOD data. For that, a decent laptop
is
> > fast enough. I suspect that covers the majority of the amibroker
> > user base. Tradestation would be a better design target.
> >
> > I am not opposed to creating an open source project for this. It
> > might use parts of the code base I have now, such as the trade
> match
> > code, but would need a very different calculation core.
> >
> > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "Mike" <sfclimbers@> wrote:
> > >
> > > If the market proves insuficient to warrant the effort required
> to
> > > package and sell your work, or if you'd just rather spend your
> time
> > > on other things, another alternative might be to publish what
> > you've
> > > got, "as is" with the agreement that you offer no support
beyond
> > what
> > > is in the code itself.
> > >
> > > You could let the community run with it, posting back their
> > > modifications for the benifet of all. It wouldn't necessarily
> have
> > to
> > > be you, or at least not only you, that put the effort in to
> > > generalize the approach, or at least render it useful to others
> > (even
> > > if only as an example of how to write the custom code).
> > >
> > > I suspect that there are enough developers in this forum that
at
> > > least a couple would be curious enough to have a look at it.
> > >
> > > Unless, of course, what you currently have somehow exposes your
> > > strategy? In which case, perhaps a simple MA crossover example
> > could
> > > be published.
> > >
> > > Mike
> > >
> > > --- In amibroker@xxxxxxxxx <mailto:amibroker%40yahoogroups.com>
ps.com,
> "dloyer123" <dloyer123@> wrote:
> > > >
> > > > I am currently getting 133 portfolio backtests per second,
> > > including
> > > > trade matching and fitness function evaluation on the host
> > system.
> > > > These are on 1 year of 5 minute bars, plus higher time scale
> > data,
> > > for
> > > > > 850 symbols.
> > > >
> > > > The card I am running on costs < $200 retail, less if you
shop
> > > online.
> > > > I would get the new Nvida card with 240 cores, but there is
> > really
> > > not
> > > > much point.
> > > >
> > > > Walkforward tests run in no time at all.
> > > >
> > > > As it stands, it just takes a lot of time and code to do
this.
> > > But,
> > > > there is no other way that I know of to get this level of
> > > performance.
> > > >
> > > > I am very tempted to write a micro kernel that could execute
a
> > set
> > > of
> > > > functions on command from afl code. That way system design
> could
> > > be
> > > > done in afl, where it belongs, but execute on the GPU.
> > > >
> > > > If enough people where willing to pay for it, I would do it.
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxx <mailto:amibroker%
40yahoogroups.com>
> ps.com, "ozzyapeman" <zoopfree@>
> wrote:
> > > > >
> > > > > Man, somebody design a plug-in or something to make this
> > useable
> > > by
> > > > the
> > > > > rest of us! I would love to have this capacity. I'm sure
> people
> > > would
> > > > be
> > > > > willing to shell out $100-200 or so for a plug-in like this
> > that
> > > > allows
> > > > > us to use our graphics cards to boost backtest speed.
> > > > >
> > > > > There are some multivariable optimizations I would like to
> run,
> > > but at
> > > > > my current computer capacity it would take over a year. But
> > that
> > > could
> > > > > be shrunk down to a day or so using this graphics card
> > > acceleration
> > > > > method.
> > > > >
> > > > > I want it!!!
> > > > >
> > > > > :-) :-)
> > > > >
> > > >
> > >
> >
>
>
>
>
> _____
>
> I am using the free version of SPAMfighter for private users.
> It has removed 523 spam emails to date.
> Paying users do not have this message in their emails.
> Try SPAMfighter <http://www.spamfighter.com/len> for free now!
>
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