Discussion of article "Using OpenCL to test candlestick patterns"

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MetaQuotes
Moderator
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MetaQuotes  

New article Using OpenCL to test candlestick patterns has been published:

The article describes the algorithm for implementing the OpenCL candlestick patterns tester in the "1 minute OHLC" mode. We will also compare its speed with the built-in strategy tester launched in the fast and slow optimization modes.

We need to rely on something to make sure that the implementation of the tester on OpenCL works correctly. First, we will develop an MQL5 EA. Then we will compare its results of testing and optimizing using a regular tester with the ones obtained by the OpenCL tester.

The test object is a simple EA trading the following candlestick patterns.
  • Bearish pin bar
  • Bullish pin bar
  • Bearish engulfing
  • Bullish engulfing

The strategy is simple:

  • Bearish pin bar or bearish engulfing  — sell
  • Bullish pin bar or bullish engulfing — buy
  • The number of simultaneously opened positions — unlimited
  • Maximum position holding time — limited, user-defined
  • Take Profit and Stop Loss levels — fixed, user-defined

The presence of the pattern is to be checked on fully closed bars. In other words, we search for a pattern on three previous bars as soon as a new one appears.

Pattern detection conditions are as follows:

Pin bar

Author: Serhii Shevchuk

Alain Verleyen
40789
Alain Verleyen  

Very interesting article. The main benefit it to see a real example of OpenCL code in action, it's very useful when you start using OpenCL yourself to have such examples. Thanks.

However, while the comparison confirms the expected huge gain using GPUs, it's a very specific strategy, where there is no relation at all between trades. It's probably rare to see such strategy in real trading. I am afraid when you will start to introduce relation between trades (a maximum open trades, only 1 trade at a time, lot increase or decrease after a winner/looser, etc...), the complexity of the OpenCL code will quickly lead to lose the speed gain benefits. (I didn't try it myself so I could be wrong).

Less importantly, for a suitable comparison, the "virtual" algorithm used with GPUs, should also be used without it, it would allow to measure to net gain due to GPUs. As in the article approach, you are not only comparing CPU to GPU (seriel to parallel) but also the "Strategy Tester" to "virtual".

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