Forex Session Manager?
Author: dolfin
Creation Date: 3/13/2011 11:26 AM
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dolfin

#1
Hi, I am trying to port my NinjaTrader strategies into WealthLab as cleanly as possible.
I am using multi-timeframe strategies that use 1min/Daily bars.

My first issue with WL is the memory crash that occurs when i use more than 2yrs lookback of 1min data. Is there a fix?

Also in Ninja, the instruments have predefined session times which can be custom configured. As I am using Forex, I would like to know how in WL to set the session for each pair to 5pmEST-5pmEST instead of the default 12-12 period.

Thank you and regards
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Eugene

#2
Hi,
QUOTE:
My first issue with WL is the memory crash that occurs when i use more than 2yrs lookback of 1min data. Is there a fix?

The universal fix is to install 64-bit Windows and use WLD6 64-bit edition. Otherwise check this out: Out of memory problems.
QUOTE:
Also in Ninja, the instruments have predefined session times which can be custom configured.

Wealth-Lab will have this feature soon, this functionality will be supported through an addin called "Market Manager".
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dolfin

#3
Hi,
Thank you for your speedy reply.

re, Session times, what would you recommended as workaround.
As a solely forex trader, this functionality is absolutely pivotal to my strategies. (no pun intended)
I am basing all my levels off the previous NY 5pm close and need the strategies to reflect this.
I am proficient in coding so am not confined to the functionality of the Wizard, so am hoping there is code routine that is not too messy.

I will install on 64bit to get round memory problem, pending resolution of session issue.

Thanks
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Eugene

#4
QUOTE:
re, Session times, what would you recommended as workaround.

I would not suggest any workarounds as the tool is in its final stages of testing.
QUOTE:
I will install on 64bit to get round memory problem, pending resolution of session issue.

By the way, how much RAM you have currently and how many symbols are you backtesting?
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dolfin

#5

I am testing on 35 symbols with 3-5yrs lookback on 1min data.
I will have access to 64bit and 8Gb of RAM, currently 32bit with 4Gb.

Could be a bit academic as the evaluation of the strategy is within 2 weeks.
Currently using Amibroker which is messy from a config perspective, albeit possible.

I presume WealthLab is not designed for FX products?
Having recently purchased a 2 machine license for WL am hoping there is a temporary workaround.
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Eugene

#6
On a 32-bit Windows, 32-bit WL6 can use up to 2Gb RAM (normally) and up to 3Gb with a boot.ini switch (/3GB on XP and LARGEADDRESSAWARE on Vista) of those 4Gb. With 2Gb available you can run a 1-min backtest on 100 U.S. symbols (trading session lasts 6.5 hours) over 10 months of data, or just 25 FX currencies that trade round the clock. A 64-bit Windows would allow to use more RAM, up to 4Gb in theory but there's memory fragmentation, OS own use, other apps running in the background (you get the picture).

Re: FX -- Wealth-Lab can work with FX products, as the FAQ suggests, as if they were Futures but you're right, there's no special support e.g. Bid/Ask quotes.

Re: temporary workaround, you could take a look at this thread for possible ideas:

Symbol's start/end time in Symbol Info Manager?