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>may I ask you a question about how long you need for one turn with system that
>is trading historically in 1 market about 100 End-of-Day-contracts (= 25
>years with a market that has 4 contracts per year).
>
>I need about 30 sec (Pentium IV; 2.7 MHZ; no Hyperthreading).
It depends on what sorts of calculations happen on each bar, and how
many trades it makes. A computer configuration like yours, with
that much data, takes a fraction of a second if it makes just 6
trades per year, using simple exponential calculations (which need
only 1 bar lookback and no loops). On the other hand if I introduce
a complex price filter that involves looping on every bar, or a
strategy that trades 3 or 4 times per week instead of 6 times per
year, the trade history calculation slows down considerably.
If you can change simple moving averages to exponential moving
averages, and standard deviations to exponential standard
deviations, and otherwise make your code more efficient, you should
see a speed improvement.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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