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Quantopian Engineering Team Update - Speedups for Transforms

Hi all,

We have been carefully monitoring the backtester's performance during this alpha release, and we just rolled out the first batch of optimizations based on our findings. Algorithms that access any of our built-in transforms should see significant improvements in runtime, with the greatest benefits accruing to algorithms that access multiple transforms and multiple securities.

So, if you're working on any algorithms that use moving average, volume-weighted average price, or standard deviation, etc., you'll find that backtests run much faster now!


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1 response

Here's an example of an algorithm that's been substantially improved by these changes:
Thomas Wiecki's Dual Moving Averages algorithm for a full 10-year history took
over five hours yesterday. The algorithm accesses two transforms (moving averages of different
lengths) on five different securities. After today's changes, we ran a clone of Thomas' algo on
our staging environment over the same period.

  • Algorithm: Cloned from "Dual Moving Averages - 10 year test not so subpar"
  • From: 2002-01-03
  • To: 2012-07-30
  • Started: 2012-08-23 02:03:37 PM
  • Finished: 2012-08-23 03:15:58 PM

The same test on our upgraded system ran in about an hour and ten minutes,
representing almost a 5x speedup from yesterday.