> ok.. what if we forget about strategies and cache their common > denominator (indicators)... so effectively we get very wide file. >
That's what I was referring to in my previous post, caching the indicator values. Consider a very simple strategy S with just one indicator and only one parameter. Let's call this parameter PeriodLength, and let it take a range of values from 1,000 to 11,000. My historical data file contains about 3 months of data, which is about 1.6 million 1-second samples. Now, if you optimize this strategy S over the range of parameter PeriodLength, the optimizer will calculate the indicator approximately 1.6 billion times. It would be impratical, (if not impossible) to save the cache of that size to disk, not to mention reading it back from disk to memory. --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
