Hi
This will depend on what kind of tests you want to run and on what amount of
data. Find an answer to that question first.
Then you trial-run these tests on your currently available hardware. And you
may see that not even the two setups you are suggesting will be sufficiently
fast for *some*
Do you need to run multiple backtests because you have several instruments
to test or are you trying to optimize parameters? If it's the later, you
might think about whether you can do your optimization separately. If so,
then just run your backtests with the optimized parameters.
Garrett
On
On 23 June 2011 at 22:25, Yihao Lu aeolus_lu wrote:
|
| Hi,I wonder if there is any good package to do portfolio
allocation/optimization. I would like to start with some plain mean variance
optimization, but I wish the package can do more, say with different type of
constraints. It will also
