I'm just starting with Quantopian, as a way to tinker with Python, Machine Learning, and financial data. I have gotten to the good first step of getting an algorithm to build and make trades -- however my backtest is painfully slow, and I'm wondering if perhaps I'm doing something incredibly inefficient. I am running a 5-year backtest and I only got about a quarter of the way through in an hour. This seems unusually slow.
Any thoughts?
Thanks,
Marc
Just a beginner's hunch -- but I'm thinking that perhaps the factors I am creating are operating on the entire stock portfolio each day, as opposed to a masked or filtered set. Should I be building custom factors perhaps?
making orders is slow, you're basically making a list of up to 1500 stocks with signals and ordering them every day. You want to use your pipeline to only get the top/bottom X stocks based on your bull_intensity and only order those. For X I would not go above 100.
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