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Direct MessagesDate/Time: Sun, 28 Apr 2024 13:26:16 +0000
Backtesting is inaccurate or slow
View Count: 862
| [2020-07-28 18:46:26] |
| Marion2025 - Posts: 13 |
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I need some advice improving my backtest compute bottlenbecks. I've read through the documentation but still have a general problem: 1) Bar based backtesting is very inaccurate for my trading strategy. When compared to Replay based backtesting, the results are completely different. 2) For this reason I prefer the more accurate replay based backtesting, but the compute performance is very slow making it frustrating and time consuming I don't understand why the backtest speed is so slow. I have a 48 thread Xeon with 128gb of ram and a RTX 2080ti GPU but SC only uses a fraction of computing resources during a backtest Are there specific causes to why the two backtest methods would cause such different results? Is there a way to modify my strategy to generate consistent results between the two methods? It would be great if I could work with bar based backtesting since it is much faster, but it is useless if inaccurate. Alternatively, can I improve the replay backtesting speed without introducing inaccuracies? Any advice beyond what is in the documentation is much appreciated |
| [2020-07-30 18:34:59] |
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Back testing can only be done within a single thread and it is a lot of processing when working especially with tick by tick data. Two ways this can be improved upon and that is to use a larger Intraday Data Storage Time Unit: Data/Trade Service Settings: Intraday Data Storage Time Unit (Global Settings >> Data/Trade Service Settings >> Common Settings >> Common Settings) Or try the "Calculate Same as Real Time" Replay Mode : https://www.sierrachart.com/index.php?page=doc/ReplayChart.html#ReplayMode Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
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