1,000,000 backtest simulations in 20 seconds with vectorbt

When you have Holy Grails, you never show anything to anybody.

 

Good Evening Handle123,

Thank you for the comment.

I AGREE with you 100% sir.

If I had a holy grail strategy, I am sorry, I am not telling anyone anything or showing noone nothing.

 

You might be able to split the data in to multiple pieces, run each piece as a separate process with your current solution, then merge the pieces together. This would take advantage of multiple cores on a single computer without the complexity of synchronizing multiple threads in the same process or making it fit into opencl to do calculation on your GPU.

 

Yeah, this is indeed simply doable. Thx.

 

I would amend that:

When you have Holy Grails, you don't use man-in-the-middle commercial black box software getting between you and your broker's API that can log all of your executions, datamine you and you're blissfully unaware for years. It's the Wild West in this kind of activity.

These days, there's plenty of open source software to start with as a basis for one's custom automated trading algorithms.

 

Can you suggest some good solid frameworks? Quantconnect is overengineered.

 

Good Morning SteveH,

How are you doing today sir?

Where can I find the Holy Grail algo Trading System for an Intraday ES Future Market?

Thank you

 

1,000,000 backtest simulations in 20 seconds with vectorbt
10,000,000 backtest simulations in 20 seconds with vectorbt
100,000,000 backtest simulations in 20 seconds with vectorbt
1000,000,000 backtest simulations in 20 seconds with vectorbt


Many traders thought if you backtest billions and billions of historical data,
you would be filthy rich.
Unfortunately, in the real world, it wouldn't work.

You should only back test the recent hundreds of data.

 

You can show it here as nobody will ever believe you. If you show something that goes above the average knowledge on ET you are classified as fake. To be credible for the majority you should underperform the average ET "trader".

If you need to do 1 million backtests, just throw away what you have. A good system does not need 1 million backtests. And hoping to optimize a system by doing 1 million backtests will not deliver what you hope it will.

 

Also switched to polars. It's more performant than pandas 2.0 but I find the filter and select syntax on columns awkward. But from experience, there is generally a tradeoff between performance and syntax (see kx)