BTUtils was created to save a lot of time in the tedious process of simulating and optimizing your strategies.
BTUtils tools take advantage of multicore architectures of modern processors, parallelizing tasks and exhaustively optimizing the code. This allows us to achieve impressive speed up in simulations and optimizations that can become several orders of magnitude faster.
BTUtils for Wealth-Lab is composed of 5 different tools:
BTOptimizer: Speeds up the Optimization of Strategies.
BTWalker: Speeds up Walk Forward Optimizations [in development].
BTScorecard: A speed optimized scorecard with several aditional features.
BTWatchLists: Facilitates the creation of watch-lists of symbols from other watch-lists or symbol lists.
Check out this videos to learn more about BTUtils for Wealth-Lab:
BTSimulator Comparative Speed Tests:
BTOptimizer Comparative Speed Tests:
Dipbuyer, 5478 symbols, all data: 144X SPEED UP!
Moving Averages Crossover - ES E-Mini Future - 16 months of data: 6X SPEED UP!
BTUtils for Wealth-Lab tools achieve very significant accelerations with respect to the default tools of Wealth-Lab in all circumstances, reaching in most cases speed ups of at least one order of magnitude and even more.
The larger the DataSet (number of symbols and bars) and the bigger the number of trades, the larger the speed up.
The speed up is universal across Strategies, Instrument Types, Scales (daily, intraday, etc.), Position Sizing methods.
Note: All tests were performed on a machine purchased in 2014 with an Intel Core I7 5820K with 6 cores and 3.3 ghz and with 16 GB of RAM. Even greater speed ups can be expected with modern machines with larger number of cores.