Optimization - speed up ?

[stevenev]

I am running rather large optimization tests on s&p stocks (500 stocks).

My main time series is 5 minutes. My typical optimization run takes 5-10 minutes (for one month of data).

Although I am working intraday, I need to check for daily 200MA. To do this I have to stretch the time span back by 200 days to get 200MA to work. I can do that, but then the optimization takes hours to run, even though the back data is really building data series for 200MA to work. I suspect the reason is 5 minute (or 1 minute) data is getting loaded, where it is not even needed.

Is there a way to optimize this scenario?

[NinjaTrader_PatrickH]

Hello stevenev,

Thank you for your post.

You are correct as to the cause of the longer optimization (the intra-day bar series needing to load far more data then the added Daily series). There would not be a means to work around this as the intra-day bar series would need to go back as far as the Daily series.

If you have any drawing objects, logging, printing, or you are running the optimization while debugging in Visual Studio I would recommend commenting out or disabling these features to help improve the performance of the optimizations.

Please let me know if you have any questions.

[stevenev]

Thanks, Patrick.