|
PureBytes Links
Trading Reference Links
|
Fascinating stuff. It's quite beyond my capabilities to hand code all
my trading systems in C (had a hard enough time learning AFL). I can't
even imagine finding the time to be proficient enough to code my own
backtester!
But it's great to know that it's possible. Maybe a workable solution
will one day trickle down to the rest of us.
I am certain I can make a major improvement in one of my trading
systems if I can run this massive optimization I have been drooling
over. But the estimated time to completion of the AA is a little over
four years!
--- In amibroker@xxxxxxxxxxxxxxx, "dloyer123" <dloyer123@xxx> wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "ozzyapeman" <zoopfree@> 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.
>
------------------------------------
**** IMPORTANT ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
*********************
TO GET TECHNICAL SUPPORT from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
*********************
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
*********************************
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|