[gekko 0.6] API change for running a backtest
Another thing I am thinking about: When you run a backtest this is basically the work that needs to be done:

1. load 1min candles from disk.
2. convert them into 1h candles (assuming candle size is 60).
3. calculate indicators
4. run the strategy
5. simulate trades
6. calculate performance

I have a feeling the first 2 items take up a lot of time. If you build a GA tool that tries to figure out the best MACD params (example) there is little reason to do step 1 and 2 on every iteration (if you have enough memory to store them). If you want to test strategies with different tresholds (keeping all indicator params intact) we can even include step 3 here. What about some new endpoints like this:

POST prepareBacktestData { watch, candleSize, etc. } -> returns some ID
POST backtest { the id you just got } -> returns backtest result

After the first call Gekko has stored all of these candles and keeps them in memory to very quickly feed them into a backtest. This might be able to speed up the backtests by a ton since a lot of heavy lifting will just be done once.

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RE: [gekko 0.6] API change for running a backtest - by askmike - 03-27-2018, 11:52 AM

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