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Nick,
I think you've expressed the idea pretty clearly. In concept, it
seems that being able to take advantage of multiple "master loop
architectures" would be a very cool ability for an optimizer to have.
This is something I have speculated on and done a small amount of
private experimenting with myself (outside of AB). I don't think any
one given loop architecture could ever be the "right choice" for all
possible jobs. Of course, creating and maintaining the code for
alternate loop architectures could be a tall order (lots of work!).
If it could be done successfully though, the product would have a
superb ability to be "matched" to different job types.
I suppose only TJ can comment on how this might relate to current or
future iterations of AB.
- Progster
Could this idea be used to advantage in AB? I suppo
--- In amibroker@xxxxxxxxxxxxxxx, "nhall" <c-yahoo@xxx> wrote:
>
> I think you misunderstood what I was trying to say. When I'm talking
> about signals, I'm not talking about the signals that you actually see
> in your Optimization/Backtester results pane, I am talking about the
> RAW signals that AB generates during the first pass of backtesting.
> These are just temporary signals that can be saved until the end of
> processing. Let me try to be a little more clear. This is how I
> understand the optimizer currently works for optimizing over a
portfolio:
>
> - Loop through the parameter combinations
> - For each parameter combination, loop through every symbol
> - Calculate the signals from the AFL for this one symbol
> - Once the raw signals have been generated for all the
> symbols for this particular combination, generate the
> final buy/sell signals and results of the portfolio
> backtest for the given parameter combination.
>
> When I do a portfolio optimization I can see that this order of events
> is being done because as soon as one combination of parameters has
> been backtested, the results are immediately outputted in the results
> pane of the Optimization/Backtest window.
>
> This method switches between symbols (# Symbols * # Optimization
> combinations) times.
>
>
> After reorganizing the order of events:
> - Loop through every symbol
> - For each symbol, loop through each parameter combination
> - Calculate the signals from the AFL for this one symbol
> - After the AFL has been run for this symbol for every
> optimization combination, save these raw signals in
> memory and move on to the next symbol
> - Once the raw signals have been generated for all the
> symbols, for all combinations, then the final buy/sell
> signals and results are generated for all parameter
> combinations.
>
> The downside of this is that the optimization results are not obtained
> for any parameter combination until all the combinations have been
> backtested (not a big deal in my opinion).
>
> The upside is that it switches between the symbols only (# Symbols)
> times. Say you have a 5000 symbol database and are doing a 100
> combination optimization, that means 500,000 symbol switches with the
> current method. By reorganizing the sequence of events that means only
> 5000 symbol switches. You would have to save more raw signals to
> memory, but this would probably be better than doing all those symbol
> switches. The goal is to be processing over one section of memory for
> a longer period of time, which will help the cache hit ratio and make
> it less problematic to expand to a multi-core processor.
>
> Nick
>
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