Advice on Multi-day strategy systems development

Great, that's *exactly* the info I was looking for.

I'm using Windows Server 2003 on a remotely hosted server, but only with 2 GB of SRAM. I've just double checked... 3 week backtest with 45 symbols, 4 bars each. Memory consumption only went up slightly (from the base 200 MB) to 245 MB, and then dipped back down when the test completed.

At least I know what to look for... memory consumption problems, and an inability to startup w/ historical data.

Maybe Windows Server fundamentally handles memory differently...? I don't know. If you want to send me your strategy to test, I can load it up on my box and let you know if it executes correctly.
 
Hmmm that is interesting, but I'm going to guess you are just under the threshold. Maybe it doesn't grow linearly...not sure, but I think I was able to scale to 100+ instruments.

However, that being said, I am interested in knowing if hardware can solve this issue. I would just send over the strategy, but its a bit out of date (i.e. first one i wrote when i started with NT a couple months ago) and requires a file with all SP tickers, all the instruments setup in your Instrument Manager, etc.

I am just starting on the effort to integrate with Google Spreadsheets per your suggestion above. I'm planning to use the integration to solve three things:

1) Position Storage and Retrieval
2) Instrument read-in and setup (doing this from a file currently)
3) Trade log generation and storage

As soon as I hammer this out, I am going back to the drawing board to see if I can solve the multi-instrument component. If I continue to be hamstrung by the memory issue I will probably follow up with you and take you up on your offer (i would quickly upgrade my hardware if it was an adequate solution).

Thanks for your help!

br
 
I think if AmiBroker just add automated trading to its functionality, that will put other vendors out of business.

I have been backtesting strategies in AB, and didn't realize I am so spoiled by AB's capability to process thousands of symbols within minutes. It is quite shocking for me to find out the much more expensive packages(OQ, NT, RE) take so much more time to backtest. I am also looking for software that can automate the strategies I develop in AB, but there doesn't seem to be a software that can do all AB does and more(automation).

In any case, thanks to bridenour and heech for sharing your experience in automated trading. My strategies are essentially the same as yours, scanning hundreds of symbols, which is a piece of cake in AB but a difficult task for all other packages.
 
bridenour,

By the way, maybe it's also related to the data source.

I'm trying IQLink, and ninjatrader.exe is only consuming 85 MB of memory with the same 45 instruments * 4 bars, running real time.
 
Quote from heech:

bridenour,

By the way, maybe it's also related to the data source.

I'm trying IQLink, and ninjatrader.exe is only consuming 85 MB of memory with the same 45 instruments * 4 bars, running real time.
More...
Oh, scratch that.

In my real-time run configuration, I only look back 2-3 days (instead of my full 3 week horizon)... that's probably the reason for reduced memory consumption.

One more advantage of the external position-tracking approach!
 
ezbentley -- its funny you should mention Amibroker. The strategy i developed that blew up NT was one i originally developed in Amibroker. It is the only strategy that I've managed to develop that seems to work consistently over years, as opposed to just taking advantage of intermediate term market dynamics. Anyway, I couldn't agree more -- Amibroker is incredible for backtesting and just generally "finding systems."


Heech-

I use IQFeed...glaad to hear you are getting so low consumption with your external position management approach. One of the additional factors in my strategy that may have exacerbated the problem was that it used "daily" bars and a rather long moving average, and therefore required quite a bit of historical data to be loaded during startup. I'm excited to see if I can get better performance/memory management by movin gthe position management outside the application. It will probably take me a month to get something in place, unfortunately, as I have to do this in my spare time....

br
 
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