Hi Experts,
Do we know whether runBacktest (part of backtestEngine) does any parallel execution … on timatables having daily data (say, up to 10K lines), daily rebalance is "bareable" – however, the higher the table, the slower the execution. Looking at the CPU, it doesn’t look like parfor is being used at all. Basically, getting on higher time resolution, anything other than daily bars (such as hourly, minute, etc.) – it gets practically impossible to execute a runBacktest on a bar by bar rebalance, even on a very small number of tickers / instruments / timetable columns (take 20 for example, forget about taking a full index).
ThanksHi Experts,
Do we know whether runBacktest (part of backtestEngine) does any parallel execution … on timatables having daily data (say, up to 10K lines), daily rebalance is "bareable" – however, the higher the table, the slower the execution. Looking at the CPU, it doesn’t look like parfor is being used at all. Basically, getting on higher time resolution, anything other than daily bars (such as hourly, minute, etc.) – it gets practically impossible to execute a runBacktest on a bar by bar rebalance, even on a very small number of tickers / instruments / timetable columns (take 20 for example, forget about taking a full index).
Thanks Hi Experts,
Do we know whether runBacktest (part of backtestEngine) does any parallel execution … on timatables having daily data (say, up to 10K lines), daily rebalance is "bareable" – however, the higher the table, the slower the execution. Looking at the CPU, it doesn’t look like parfor is being used at all. Basically, getting on higher time resolution, anything other than daily bars (such as hourly, minute, etc.) – it gets practically impossible to execute a runBacktest on a bar by bar rebalance, even on a very small number of tickers / instruments / timetable columns (take 20 for example, forget about taking a full index).
Thanks backtestengine, runbacktest, backteststrategy, rebalancefrequency, financial toolbox, quantitative finance MATLAB Answers — New Questions

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