Cloud Optimizing using 1 minute OHLC over Every Ticks

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Chee Chua
711
Chee Chua  

Would Cloud Optimizing using 1 minute OHLC over Every Ticks be cheaper and faster?

Sergey Golubev
Moderator
106141
Sergey Golubev  

Forum on trading, automated trading systems and testing trading strategies

How much to deposit for optimizing using cloud computing?

Sergey Golubev, 2017.07.22 07:29


many years.
OHLC?
No idea. I did not use OHLC

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There is the artticle:

Testing trading strategies on real ticks

The article provides the results of testing a simple trading strategy in three modes: "1 minute OHLC" using only Open, High, Low and Close prices of minute bars; detailed modeling in "Every tick" mode, as well as the most accurate "Every tick based on real ticks" mode applying actual historical data.

Comparing the results allows us to assess the quality in various modes, as well as helps us to use the tester more efficiently in order to receive results faster. "1 minute OHLC" mode allows receiving quick estimated test results, "Every tick" mode is closer to reality, while testing on real ticks is most accurate but time-consuming. Keep in mind that errors in a trading robot's logic may affect the number of trading operations making the strategy test results more susceptible to a selected test mode.

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So, I understand the following:

  • "1 minute OHLC" is foir quick estimating;
  • "every tick" mode is for detailed modelling and closer reality (compare with OHLC mode for example);
  • "Every tick based on real tick" - most accurate (same with real trading).


Sergey Golubev
Moderator
106141
Sergey Golubev  
jon:

Would Cloud Optimizing using 1 minute OHLC over Every Ticks be cheaper and faster?


You can try by yourself as it is not expensive (or you can try without cloud as it is free if without cloud).

Chee Chua
711
Chee Chua  
Sergey Golubev:

You can try by yourself as it is not expensive (or you can try without cloud as it is free if without cloud).

A similar optimization that usually takes 26 hours to do on my core i5 laptop 

completed on the cloud in 49 minutes and cost $1.18.

I'm using Fast optimization  and 1 minute OHLC.


It runs faster during trading hours.

I did another optimization (that usually takes 2-3 hours on my core i5) after trading hours

and it was either way slower or that the agents weren't ready and that took over 40 minutes 

and cost around 40 cents.

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