Tick Speed Showdown! TickZoom vs the competition

Discussion in 'Trading Software' started by greaterreturn, Jan 1, 2009.

  1. A long time user of AmiBroker wrote this in a private email, I'm quoting:

    What he explains further in the email is that AmiBroker has some optimizations that look forward through the historical testing data to generate arrays in advance. The all upper case claim above means that this optimization makes it faster than calculating the bars "on the fly" as you go like TickZOOM.

    At first that sounds exciting. However, it causes several other problems, I will explain below. First however, let's have the speed showdown!

    TickZOOM already posted a video with the performance of TickZOOM using only 2 Pentium Processors (Not Xeon)

    It processed 10,000,000 ticks (quotes) for one currency pair or 5 years of data in 40 seconds.

    Here are the rules of the contest:

    1. AmiBroker must process 10,000,000 ticks (quotes) of data that cover at least 4 years of data.

    2. It must show that it only uses at most 2 pentium processors and not Xeon.

    3. If must use the same very simple strategy as the TickZOOM demo of buy at the breakout of 1 hour bar and sell at breakout below 1 hour bar.

    4. It must also generate performance results (any number of reasonable results like win ratio, profit per trade, Sharpe, Sortino, etc. just like TickZoom.

    5. Both systems must process every tick. That means that it must calculate "intra bar" breakouts and not simply if the close is higher.

    Now, what are the problems with forward looking arrays?

    First of all, it means that the AFL "engine" processes trading rule models drastically differently in historical testing than in automated trading. Of course, the intention is to produce the same result. However, that theoretically presents a risk that a tested strategy may work differently in real time trading.

    Second, doesn't that make the values of those arrays fixed?

    More specifically, people contacted me about AmiBroker, Ninja and the rest making it very difficult to have variable time frame bars. That means a bar which starts at 5 minutes interval but may be modified by the trading rules to be longer, 6 minutes, or short 4 minutes during testing or trading.

    TickZOOM handles any type of dynamic or variable bars like that and range bars, volume bars, multiple bar intervals within the same trading model all due to building all the bars "on the fly" tick by tick.

    Additionally, it means that TickZOOM runs the exact same code without modification when historical testing and real time trading on a chart or in black box mode.

    Still. This is a very valid challenge.

    Is forward looking array based optimization faster than TickZOOM can do it tick by tick?

    Can anybody run this demo, please, on AmiBroker and post a video?

    Feel free to discuss the rules and results.

  2. It says Tickzoom hasn't been released for beta testing. I've seen alot of these vapourware comments before. I wouldn't use Amibroker to auto-trade (because I don't have a short term strategy, nor can I program it to autotrade myself, but I know you can hire people - ablesys for one), but inspite of that, I know Amibroker works well with everything else.

    And its fast, I can backtest 15 years of 5000 stocks using OHLC VOL O/I data from Yahoo or other sources and get a backtest in about 2 minutes on a P4 2.4 GHz on 1.5 gig of RAM on Windows XP.

    Thats fast enough for me.

    And you'd have to ask Tomasz about whether the dataset "looks forward" - I doubt it - the backtesting code is running higher up than the optimization hes running using C or Assembly....
  3. That's excellent. You didn't specify if that's tick data vs. bar data. But OHLC VOL O/I data sounds like bar data. So that's good performance.

    NOTE: TickZOOM doesn't have any plans at present to process bar only data. It only processes tick data. So it could never compete with that kind of speed if you only want bar data. TickZOOM is called TickZOOM for that reason.

    I'm more interested in a tick data comparison.

    But I know AmiBroker is good. And wonderful, there's just a subset of people like me who want all historical testing on raw tick data or more variability of some features and open source.

    I doubt AmiBroker will lose customers.

    FYI, you're right TickZOOM is not yet released. But that's only days away.

    All the definitions of vaporware online either say it's software announced way in advance of the release date to discourage people buying other software or software way past the promised release date.

    I don't find any definition for vaporware that fits software announced to be release in just a couple weeks or days and it really happens.

    So feel free to call it that after January is over. But it will be released early in January.

    Anyway, that's not what this thread is about. It's about tick speed--my personal interest.