Machine learning in trading: theory, models, practice and algo-trading - page 3271
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Compare to the old version of Alglib. I have no data that it has become slower.
Maxim's CPU is 2 times faster than mine. I don't remember if he gave timings for Algliba, I think not.
Timings.
Forum on trading, automated trading systems and testing trading strategies
Machine learning in trading: theory, models, practice and algo-trading.
Aleksey Vyazmikin, 2023.09.26 05:19 AM
This is on an old FX-8350
Forum on trading, automated trading systems and testing trading strategies.
Machine Learning in Trading: Theory, Models, Practice and Algorithm Trading
Aleksey Vyazmikin, 2023.09.26 05:37 AM
For statistics, this is my result
I should note that Python has a small parallelisation when running code - for half a second for about two cores, the rest is counted on one core.
You wrote yourself that the standard one is slower than the current alglibov one. I have the old one in the form of code, but not the terminal.
The Alglib source itself was rewritten by MQ for its matrices. I don't even want to discuss the standard CorrCoef, there are obvious problems there.
I.e. there are two sources of Alglib.
Timings.
The Alglib source itself was rewritten by MQ for its matrices. I don't even want to discuss the standard CorrCoef, there are obvious problems there.
I.e. there are two sources of Alglib.
NumPy seems to have a different algorithm from ALglib
In AlgLib, the original documentation says why different, which ones and what they are for. With regressions (I was mostly digging into AlgLib there) it is quite original.
Again, everything compares strangely, as you can't. Build graphs of speed=f(dimensionality,special_matrix_properties) dependencies for different libraries/realisations and look at them. You're taking edge cases, taken from the ceiling.
and there you look not at the absolute value, but at the symptomatology and the presence of a "plateau". From there you choose a tool to work with specific data.
Maxim's CPU is 2 times faster than mine. I don't remember if he gave timings for Algliba, I think not.
I have mt through virtualisation there, the tests will not be very plausible.
Plus I chose to compute something in python and then transfer it to any platform. For example, for crypto you don't need terminals at all.
It's a total crap shoot in terms of speedAgain, it's a strange way of comparing things, in a way you can't.
I don't do comparisons, I provide code that everyone can measure for their own case.
The string length of 100 is the length of the pattern. You probably don't need more than that.
15000 samples is memory limited because of the quadratic size of the correlation matrix. The more samples, the better. That's why I wrote a homemade one, where you can have a million of them.
I have neither desire nor time to spend on objective comparison. I made it for my own tasks and shared the working code. Whoever needs it will see it.
I made it for my own tasks and shared the working code. Anyone who needs it will have a look.
Where can I see the final code?