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Ideas to improve run time for back testing for large data?
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I use seconds CSV data feed OLHCL of one month and replay the data 3 times 1. for seconds(as is) 2. for 5 minutes 3. for 30 minutes and use it for diffrent indicators such as meager spikes, calculate ATR and the seconds bars are for the prices updating.
At the current way when I replay the data it takes more then 1.5 hour to run one back test. and I need to add more time intervals for diffrent indicators meaning that I will require to replay the data more then those 3 times and it means that it will take much more time..
Also I'm using only one month at the moment and would like to use more than 1 month for those tests.
Do you guys know any way to significant decrease the time for those runs ?
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Any thoughts ?