No. of Recommendations: 5
Just FYI, if needed, you can speed up the backtests by using imports or importf. (Build a separate screen that calculates the field (using -1 lag), and paste the field-calculating URL into the new screen.) For example:
https://gtr1.net/2013/?~EYmedium:h21f0.4::styp.a:e...Another example, the screen {PEfMo26import} is the same as {PEfMo26} but uses import. Testing this (with -nocache) shows using importf speeds up the backtest:
{PEfMo26} Clock: 973
{PEfMo26import} Clock: 299
https://gtr1.net/2013/?~PEfMo26import:h19f0.4::rPE...https://gtr1.net/2013/?~PEfMo26:h19f0.4::Q1End:gt0...Author: rgearyiii
Subject: How not to backtest Sum-of-Ranks
Date: 12/23/2016
"... The advice I refer to is this: Always encapsulate complex calculations inside their own backtests and import the results into other backtests using either importf (for regular field values), imports (for signal fields) or picktally. ... However, the focus of this post is on the performance advantages to what I recommend. ...
This first version uses the ill-advised method of calculating everything within one backtest, where "everything" includes the percentile ranks for RRS with twelve different lookbacks:... You can force the backtest to run without cache files by including "-nocache" as a command line-only option... Clock: 45175 ...
This next version uses the method I recommend, where each ranked field is ranked within its own backtest and the ranks are imported with importf:... Clock: 4623 ...
The reason the second version performs so much better is the way the importf function works: It causes the referenced screen to save the requested field`s values to a hidden intermediate field file, and the backtest that makes the importf call then reads that field file like any other. For a calculation as intensive as RRS, reading the calculations from a file is faster than re-calculating them from stock prices..."
https://yorickm.com/Message.php?pid=32529357 