EA Backtesting Speed | Forex Factory

Options

Permalinks
Print Thread

Similar Threads

Backtesting programs 20 replies

Best backtesting Period 3 replies

MT4 backtesting speed over 2mth period vs years 0 replies

Custom backtesting code 9 replies

Backtesting vs. Thought Process 10 replies

EA Backtesting Speed

  • #1
  • First Post: Jan 1, 2010 11:42am Jan 1, 2010 11:42am
I've got what seems to be good EA, but when I try to run backtests they're really slow. It needs about 24 hours just to cover one month! The following is basically the structure:

The EA
Takes info from custom indicator and if value > 10 go long

Data from a Different Custom Indicator

Involves moving average and close price

That's all there is to it. There aren't any complex calculations involved... just basic arithmetic.

Thanks
  • #2
  • Jan 1, 2010 1:48pm Jan 1, 2010 1:48pm
How resource intensive is that custom indi? that's most likely what's causing your backtest to run slowly.
  • #3
  • Jan 1, 2010 3:15pm Jan 1, 2010 3:15pm
If you are running in "Every Tick" mode, Strategy Tester is very slow even for the most basic of calculations. The overhead seems to the number of ticks not the amount of calculations.

For some of my EAs I run in "Control Points" mode because the algorithm is based on bars not ticks. That gives an improvement of 4 - 5 times. Perhaps thats not an option for you. I like to test on the less active pairs like the AUD and CAD when my EA isn't currency dependent. That gives an improvement of 2 - 3 times.

Different brokers data run at different rates. I find FXDD runs at twice the rate as FXCM because there are fewer ticks. For preliminary testing that is fine, then for comfirmation I run on the fuller data sets.

Hope that gives you something to consider and works as well for you as it does for me.
  • #4
  • Jan 1, 2010 5:28pm Jan 1, 2010 5:28pm
Quoting Ronald Raygun
How resource intensive is that custom indi? that's most likely what's causing your backtest to run slowly.
I've used the same indicator in other EAs, but I've never experienced a backtest this slow before.... although I just realized I'm using a custom indicator within a custom indicator.

Quoting CodeMeister
If you are running in "Every Tick" mode, Strategy Tester is very slow even for the most basic of calculations. The overhead seems to the number of ticks not the amount of calculations.

For some of my EAs I run in "Control Points" mode because the algorithm is based on bars not ticks. That gives an improvement of 4 - 5 times. Perhaps thats not an option for you. I like to test on the less active pairs like the AUD and CAD when my EA isn't currency dependent. That gives an improvement of 2 - 3 times.

Different brokers data run at different...
This works great! My strategy doesn't rely on ticks anyway so it works out. Either way i'll fix that indi with an indi problem lol that should speed things up.

Thanks for help guys!
  • #5
  • Jan 2, 2010 2:51pm Jan 2, 2010 2:51pm
Just a heads up... I combined the two indicators (so i don't have an indicator with another indicator) and now backtests are literally 1000X faster! I can get through years of data on a 1Min tick by tick within seconds!
  • #6
  • Last Post: Oct 22, 2014 10:51am Oct 22, 2014 10:51am
Quoting MoForce
Just a heads up... I combined the two indicators (so i don't have an indicator with another indicator) and now backtests are literally 1000X faster! I can get through years of data on a 1Min tick by tick within seconds!
Sorry to revive an old thread but how exactly did you solve the problem? What do you mean by "combined the two indicators"?
0 traders viewing now