Composites - Making Them Faster

Composites - Making Them Faster

Dave W.
2014-03-06 18:03:32

I have a fairly powerful computer, and love the idea of using composites in my trading systems. As you've mentioned in your articles, though, using them can be extremely slow.

I'd like to get a few ideas on how to make using them faster. Let's take a specific case. Let's say I'm optimizing a trading system that creates a composite based on the members of the Russell 3000 index that trade an average of 3M shares a day. I want to run roughly 250 optimization iterations, but doing that takes 6 - 8 hours. (Side question: Is it the case that the composite is re-calculated each time on optimization iteration is run?) This makes it very challenging to evaluate various system options for using comp().

Here's some sample code to give you a better idea about how I'm using the comp() function in the system:

NatrShortRankLength = 5;
RankThreshold = 140;
Optimize("NatrShortRankLength", 2, 8, 2);
Optimize("RankThreshold", 5, 175, 5);
ShortRankFunction = natr(NatrShortRankLength );

Rule1 = connorsrsi(CRSI_RSI_Lookback, CRSI_DaysUp, CRSI_PctRank_Length ) > CRSI_Threshold;
Rule4 = SMA(volume, 22) > MinimumVolume;
Rule5 = comp(ShortRankFunction, 'rank' ,1 , SMA(volume, 22) > MinimumVolume) >= RankThreshold ;

Short = Rule1 && Rule4 && Rule5;

I've seen some related posts, but I'm not sure if there are there options to store the composite data in a custom database and request the data versus re-calculating the composites when optimizing. Or are there other options to make them faster that I'm missing?

Thanks in advance for your suggestions.

QuantShare
2014-03-07 13:23:32

Best Answer

Hi Dave,

We are preparing a blog post on how to store ranking data in a custom database for later use during optimizations.
But in your case, you can replace the "comp" function with the "SetSimShortRank" function.

Example:
SetSimShortRank(ShortRankFunction); // Rank stocks based on a specific rule
The volume filter can be added as a new rule in the "short" variable.

clonex
2014-03-07 16:37:13

I use setsimlong/shortrank and It works fast

clonex
2014-03-07 16:37:21

I use setsimlong/shortrank and It works fast

Dave W.
2014-03-07 16:58:59

Thanks all.

I typically also use SetSimLong (/Short), I just didn't think that I could use it in this case, but your example (QuantShare) made me realize I could accomplish what I wanted via what you said + limiting the number of positions... Much better solution!

Thank you.
Dave

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