What to do if the backtest is too slow?

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What to do if the backtest is too slow?

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Seeking Help Getting Started

I cloned and runned the full backtest "long-short-equity" algo from Lecture39, see here.
Although the period is only one year long, I could not finish it in one hour.
Anything I can do at this moment? Thanks.

2 responses

Hmm,

You are right. It's slow.

Try deleting the entire 'handle_data' method (which runs every minute). Move the recording logic somewhere else to only run once a day. Perhaps move it to the 'daily_clean' function.

def daily_clean(context, data):

    for stock in context.portfolio.positions:  
        if stock not in context.security_set and data.can_trade(stock):  
            order_target_percent(stock, 0)

    record(num_positions=len(context.portfolio.positions),  
           exposure=context.account.net_leverage,  
           leverage=context.account.leverage)

Not sure why the recording was done every minute. Generally, limit the use of the 'handle_data' function to keep things fast.

Another thing to try to speed the algorithm up is to replace the 'filter_universe' function with one of the newer Q500US or Q1500US built in filters.

See attached.

@Dan Once again, thanks for your help. It works normal.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.