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--- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@xxx> wrote:
>
> Would AB really run any faster on this PC, or would one have to
design
> some kind of hack that allowed AB to take advantage of the extra
> processors?
>
> My limited understanding was that to get AB's backtesting to run on
> NVIDIA graphics cards, some kind of CUDA kernal had to be designed -
> and that was a huge job that nobody took on. There was a thread
about
> that a few months back.
>
Yep, it can be done, it takes more than a little hacking, but yes it
is fast. The bandwidth and computing power available is massive.
It also takes a lot of low level coding to make it work. I had to
write my own backtester and hand coded my system in C.
In my application, a portfolio of 1,000 or so symbols with a year or
so of 5 minute bars takes about 25 seconds in AMI and only 5-6ms on
the GPU. Brute force searches work just fine.
But much of that speed up is due to the use of hand optimized code.
Specifically, it avoids the very large overhead AMI has in each
optimization step, which amounts to most of the execution time.
Instead, I was able to download the price bars into the GPU once,
then run multiple passes over the data with different parameter
values. Very fast.
TJ will brag about how fast AFL execution is, and it is faster than
other general tools, but I dont think that he has sat through many
multi day walk forward runs.
If he did, he would not be so wedded to rebuilding price bars on each
optimization pass and find a way to do it just once. Also, there are
faster ways to handle the signal list than to materialize the full
set of buy/sell/short/cover/price arrays.
For example, running the code I wrote for the GPU on a laptop without
a GPU, using the GPU emulator, running on a single CPU core, was
still about x10 faster than in AMI alone.
But, dont underestimate the utility of a high level tool like ami.
Sure, it is slower than hand coded C, even on just one cpu, but a
heck of a lot easier to work with. There is always a performance hit
for a high level tool.
I dont bother writing C code unless I need to optimize 3 or more
parameters and then, I try real hard to knock it down to improve the
system walk forward efficiency.
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