jpb Veteran   Posts: 168 Joined: 5/11/2005 Location: Brown Deer, WI  User Profile | Version 3 added above. Direct download may still cause 500 Internal Server Error. Google Drive link should give you the update. Significant speed improvement. 30k trades now completes in about 2 minutes. 200k trades in about 10 minutes. Speed is a factor of number of market states, number of strategies, and number of trades. I had 64 market states, with 200k trades and 30 strategies and the version 2 was still running after 2 hours. This prompted a redesign of several loops to use more efficient methods of populating formulas. Run time is now between 10 and 15 minutes. | |
