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Re: Votes for future features [Re: boatman] #479062
02/11/20 12:00
02/11/20 12:00
Joined: Jul 2000
Posts: 27,341
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,341
Frankfurt
I believe HDF5 is not the best choice for time series. A possible better solution would be having historical files in zip archives.

Re: Votes for future features [Re: jcl] #479081
02/13/20 05:50
02/13/20 05:50
Joined: Oct 2018
Posts: 22
7
7th_zorro Offline
Newbie
7th_zorro  Offline
Newbie
7

Joined: Oct 2018
Posts: 22
I think zip archives is very good solution.
Please add that feature.
Thank you.

Re: Votes for future features [Re: boatman] #479144
02/23/20 17:16
02/23/20 17:16
Joined: Feb 2017
Posts: 369
D
Dalla Offline
Senior Member
Dalla  Offline
Senior Member
D

Joined: Feb 2017
Posts: 369
Would it be possible to allow us have a historyDirectory() call when running a strategy, similar to how we set assetList?
I like to keep daily and 1 min asset files in different directories, and currently that requires me to update the ZorroFix.ini and restart Zorro.

Re: Votes for future features [Re: boatman] #479150
02/24/20 16:24
02/24/20 16:24
Joined: Jul 2000
Posts: 27,341
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,341
Frankfurt
Yes, this has in fact already been requested and is on our list.

Re: Votes for future features [Re: boatman] #479477
04/02/20 06:58
04/02/20 06:58
Joined: Dec 2014
Posts: 174
Germany
Smon Offline
Member
Smon  Offline
Member

Joined: Dec 2014
Posts: 174
Germany
I have an idea how to speed up backtesting of strategies using deep learning dramatically. Reason for the slow backtesting is the R-Bridge being incredibly slow.

The workaround with the neural_train() function is really elegant, where you circumvent the R bridge and feed the signals and the objective as a *.csv file. Wouldn't it be possible, to use a similar trick for backtesting?

When a machine learning algo is trained, predictions will be calculated for each row of signals anyways. Why not just put these predictions in a cache, where they can be read from Zorro?

By the way, I wrote two indicators in R that were next to unusable because backtesting was so slow. By implementing a cache on the Lite-C side, I was able to get huge performance gains, because I save a lot of requests to the R session! (The indicators keep most of their values for several bars and the other values can easily be updated within the cache).

Re: Votes for future features [Re: boatman] #479478
04/02/20 07:58
04/02/20 07:58
Joined: Jul 2000
Posts: 27,341
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,341
Frankfurt
The problem with predictions in a cache is that your signals can have any value. Even when you store signals in discrete 1% steps, with 10 signals a cache hit had a probability of 1/100^10.

Re: Votes for future features [Re: jcl] #479483
04/02/20 11:35
04/02/20 11:35
Joined: Dec 2014
Posts: 174
Germany
Smon Offline
Member
Smon  Offline
Member

Joined: Dec 2014
Posts: 174
Germany
You misunderstood my approach: I wouldn't cache the signals (which is of course impossible because of the virtually unlimited number of combinations), but the predictions. The predicted value only depends on time, because the signals themselves only depend on time, unless you try to optimize parameters on which they depend. Is that even possible? At least for me, this isn't desirable. If it is possible, you could implement a flag DEEPCACHE or something, to switch caching on.


So if I was to implement that cache, I would pass a timestamp - a bar number or wdate() - along with the signals into the R session. So one of the columns of my signals.csv would be that timestamp. I would put that aside before my neural net gets trained. When the training is finished, I would first add a new column with my predictions to the signals table, then add the timestamp column. Then I would export only the timestamp and the predictions column to a file. So I would get a timeseries with all the predictions which I would read out from zorro.

Maybe the term "cache" doesn't describe the approach. It's more some pre-calculated time series.

Last edited by sdh309795gaas; 04/02/20 12:18.
Re: Votes for future features [Re: boatman] #479899
05/03/20 23:42
05/03/20 23:42
Joined: Mar 2019
Posts: 248
D
danatrader Online
Member
danatrader  Online
Member
D

Joined: Mar 2019
Posts: 248
I would love to have that "range inefficiency Z-strategy", also I would love to have the Z-strategies combined and be able to run them at once in one single instance activating by .ini file e.g. which are relvant for the instance running.

E.g. Z1, Z2, Z12 within one instance, for poor people, to make most efficient use of those badly scaled VPSs the brokers provide.

Re: Votes for future features [Re: boatman] #480145
05/21/20 22:52
05/21/20 22:52
Joined: Oct 2017
Posts: 45
Brazil
J
jmlocatelli Offline
Newbie
jmlocatelli  Offline
Newbie
J

Joined: Oct 2017
Posts: 45
Brazil
I would like Zorro to use multiple CPU cores during a non-WFO optimization.

Re: Votes for future features [Re: boatman] #480146
05/21/20 22:55
05/21/20 22:55
Joined: Oct 2017
Posts: 45
Brazil
J
jmlocatelli Offline
Newbie
jmlocatelli  Offline
Newbie
J

Joined: Oct 2017
Posts: 45
Brazil
I would like Zorro to use multiple CPU cores during a non-WFO optimization.

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