Support Board
Date/Time: Wed, 23 Apr 2025 03:04:30 +0000
Why is the fastest backtesting so relatively slow?
View Count: 615
| [2024-07-19 14:31:59] |
| User386194 - Posts: 3 |
|
Sierra Chart is by far the best platform available today, with terrific functionality, engineering quality and value-for-the-money. There is however one area in which I think Sierra could be even better - backtesting speed. The fastest way currently to backtest in Sierra Chart is using AutoTrade System Bar Based BackTest. On my PC, backtesting (with 250 Bar Processing Increment) a strategy on a 1 Minute Chart with the Date Range 2023-01-01 to 2024-07-19 takes 10 seconds. Calculating a study on the same chart takes 102 ms. Shouldn't a bar based backtest execute in a time more similar to a study? A study loops through all the bars and applies some sort of logic, too. A somewhat reasonable scenario would be setting up an optimization with ASCIL for 100 symbols, with 500 iterations per symbol. With the same speed as in the example above - using bar based backtest - that would take: 100 * 500 * 10 = 5.78 days If a backtest instead would execute in 102ms, the same calculation would take: 100 * 500 * 0.102 = 1.42 hours. Is it possible that a backtesting function of this speed could be implemented in Sierra Chart? This would be a significant improvement for Sierra Chart and offer new opportunities for analysis and strategy development. And also be more in line with what one would expect from a C++ based platform with otherwise superb quality that Sierra Chart has. One of the main features of Sierra is: Sierra Chart is extremely fast with a definite focus on high performance in all areas of the program.
I find the backtesting speed to be the one thing that does not live up to that description. Would it be possible for the engineering team to look into this? Best regards, J |
| [2024-12-09 10:43:11] |
| Balazs - Posts: 13 |
|
I Agree wtih this and I also would love to see a solution for this challenge. Backtesting in Sierra chart is a bit more of a hastle (and I agree that the platform is the best around by far!). John, is there any way for you to address the backtesting "question". best regards Balazs |
| [2024-12-15 02:19:41] |
| Sierra_Chart Engineering - Posts: 19307 |
|
We do not see how the bar based back testing can be made any faster. It is as fast as can be with the bar based back tests. However, what is the Chart Update Interval set to. Refer to step 3 here: Auto Trade System Back Testing: Bar Based Back Testing This will affect the speed of back testing. And what are you using for the Enter Bar Processing Increment? 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, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2024-12-15 02:20:10
|
To post a message in this thread, you need to log in with your Sierra Chart account: