Optimization-stuck-on-huge-intraday-data

Hello!

I noticed this problem when optimizing the strategy:

If I set the period from 01/01/2005 to 12/31/2019, then my computer starts to slow down very much. I can't switch windows, sometimes I can't even move the cursor, and the optimization progress bar doesn't fill up. In order to return to normal operation, you have to restart the computer; pressing the power button does not always help; sometimes you have to physically disconnect the computer from the power supply.

In several cases, the WL closes spontaneously. If I set the period from 01/01/2005 to 12/31/2005 or from 01/01/2019 to 12/31/2019, then everything works well and the optimization will complete successfully in 2-3 minutes.

I am sending you the strategy and settings code, as well as data:

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Data;
using WealthLab.Indicators;
using System.Collections.Generic;
using WealthLab.MyIndicators;


namespace WealthScript1 
{
   public class MyStrategy : UserStrategyBase
   {
      public MyStrategy() : base()
      {
         AddParameter("Stop", ParameterType.Int32, 1000, 1000, 10000, 500);
         AddParameter("Stop Type", ParameterType.Int32, 0, 0, 2, 1); //0-обычный Stop, 1-Trailing Stop, 2-отключение всех Stop.                  
         AddParameter("LongEnabled", ParameterType.Int32, 1, 0, 1, 1); //0-Long на вход выключен. 1-Long на вход включен.
         AddParameter("ShortEnabled", ParameterType.Int32, 1, 0, 1, 1); //0-Short на вход выключен. 1-Short на вход включен.               
         AddParameter("takeProfit", ParameterType.Int32, 1000, 1000, 10000, 100);
         AddParameter("enableTakeProfit", ParameterType.Int32, 0, 0, 1, 1); //0-выход по takeProfit выключен. 1-выход по takeProfit включен.
         AddParameter("periodEnterPC", ParameterType.Int32, 310, 5, 1000, 10);
         AddParameter("percentWidthChannalPC", ParameterType.Int32, 35, 5, 300, 5);
         AddParameter("индикаторEMA", ParameterType.Int32, 20, 5, 300, 5);
         AddParameter("индикаторEMAHour", ParameterType.Int32, 20, 5, 300, 5);
         AddParameter("индикаторEMADay", ParameterType.Int32, 20, 5, 300, 5);
         AddParameter("индикаторEMAHourВключен", ParameterType.Int32, 1, 0, 1, 1);
         AddParameter("индикаторEMADayВключен", ParameterType.Int32, 1, 0, 1, 1);



         StartIndex = 9;
      }

      public override void Initialize(BarHistory bars)
      {

         indicatorOpenHour = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Open), -1), HistoryScale.Minute60), 0);
         indicatorHighHour = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.High), -1), HistoryScale.Minute60), 0);
         indicatorLowHour = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Low), -1), HistoryScale.Minute60), 0);
         indicatorCloseHour = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Close), -1), HistoryScale.Minute60), 0);

         indicatorOpenDaily = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Open), -1), HistoryScale.Daily), 1);
         indicatorHighDaily = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.High), -1), HistoryScale.Daily), 1);
         indicatorLowDaily = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Low), -1), HistoryScale.Daily), 1);
         indicatorCloseDaily = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new TimeSeriesIndicatorWrapper(bars.Close), -1), HistoryScale.Daily), 1);

         PlotIndicatorBands(indicatorHighHour, indicatorLowHour, WLColor.LightGray, 0, 20, false, "Price");
         PlotIndicatorCloud(indicatorOpenHour, indicatorCloseHour, WLColor.Brown, WLColor.LightGreen, 2, LineStyle.Solid, 25, false, "Price");

         PlotIndicatorBands(indicatorHighDaily, indicatorLowDaily, WLColor.LightGray, 0, 20, false, "Price");
         PlotIndicatorCloud(indicatorOpenDaily, indicatorCloseDaily, WLColor.Red, WLColor.LightGreen, 2, LineStyle.Solid, 10, false, "Price");


         emaMainSymbolHour = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new EMA(bars.Close, Parameters[9].AsInt), -1), HistoryScale.Minute60), 1);

         PlotIndicator(emaMainSymbolHour, new WLColor(0, 0, 255), PlotStyle.Line, false, "Price");

         
         emaMainSymbolDay = new OffsetInd(bars, new ScaledInd(bars, new OffsetInd(bars, new EMA(bars.Close, Parameters[10].AsInt), -1), HistoryScale.Daily), 1);

         PlotIndicator(emaMainSymbolDay, new WLColor(0, 0, 255), PlotStyle.Line, false, "Price");


         longEnabled = Parameters[2].AsInt == 1;
         shortEnabled = Parameters[3].AsInt == 1;

         takeProfit = Parameters[4].AsInt;

         if (Parameters[5].AsInt == 0)
         {
            enableTakeProfit = false;
         }
         else
         {
            enableTakeProfit = true;
         }


         trailing = false;
         PlotStopsAndLimits(3);


         былПробойНижнегоКаналаPCВходLongВТечениеДня = false;

         былПробойВерхнегоКаналаPCВходShortВТечениеДня = false;

         былПробойВерхнегоКаналаPC = false;

         былПробойНижнегоКаналаPC = false;

         индикаторEMA = new EMA(bars.Close, Parameters[8].AsInt);

         PlotIndicator(индикаторEMA, new WLColor(0, 0, 255), PlotStyle.Line, false, "Price");

         openHourMainSymbolByHourNumber = new List<double>();
         highHourMainSymbolByHourNumber = new List<double>();
         lowHourMainSymbolByHourNumber = new List<double>();
         closeHourMainSymbolByHourNumber = new List<double>();

         EMAHourMainSymbolByHourNumber = new List<double>();

         openDayMainSymbolByDayNumber= new List<double>();
         highDayMainSymbolByDayNumber= new List<double>();
         lowDayMainSymbolByDayNumber= new List<double>();
         closeDayMainSymbolByDayNumber= new List<double>();

         EMADayMainSymbolByDayNumber= new List<double>();
         
         номерЧасаСНачалаТеста = 0;


         if (Parameters[11].AsInt == 0)
         {
            индикаторEMAHourВключен = false;
         }
         else
         {
            индикаторEMAHourВключен = true;
         }

         if (Parameters[12].AsInt == 0)
         {
            индикаторEMADayВключен = false;
         }
         else
         {
            индикаторEMADayВключен = true;
         }

         номерДняСНачалаТеста = 0;

      }

      public override void Execute(BarHistory bars, int idx)
      {
         int index = idx;

         if (idx < Parameters[6].AsInt)
         {
            return;
         }

         if (idx > 0 && idx + 1 < bars.Count)
         {
            if (bars.DateTimes[idx + 1].Hour != bars.DateTimes[idx].Hour)
            {
               openHourMainSymbolByHourNumber.Add(indicatorOpenHour[idx]);
               highHourMainSymbolByHourNumber.Add(indicatorHighHour[idx]);
               lowHourMainSymbolByHourNumber.Add(indicatorLowHour[idx]);
               closeHourMainSymbolByHourNumber.Add(indicatorCloseHour[idx]);

               EMAHourMainSymbolByHourNumber.Add(emaMainSymbolHour[idx]);

               номерЧасаСНачалаТеста++;
            }

            if (bars.DateTimes[idx + 1].Day != bars.DateTimes[idx].Day)
            {
               
               openDayMainSymbolByDayNumber.Add(indicatorOpenDaily[idx]);
               highDayMainSymbolByDayNumber.Add(indicatorHighDaily[idx]);
               lowDayMainSymbolByDayNumber.Add(indicatorLowDaily[idx]);
               closeDayMainSymbolByDayNumber.Add(indicatorCloseDaily[idx]);

               EMADayMainSymbolByDayNumber.Add(emaMainSymbolDay[idx]);

               номерДняСНачалаТеста++;
            }
         }

         if (номерЧасаСНачалаТеста < 2)
         {
            return;
         }

         if (номерДняСНачалаТеста < 2)
         {
            return;
         }


         Position foundPosition0 = FindOpenPosition(0);         

         if (longEnabled == true)
         {
            if (foundPosition0 != null)
            {
               выполнилосьУсловиеИндикатораВLong = false;

               if (Parameters[1].AsInt == 0)
               {
                  Backtester.CancelationCode = 360;
                  ClosePosition(foundPosition0, OrderType.Stop, foundPosition0.EntryPrice - Parameters[0].AsInt, "Выход (Long) stop loss");
               }
               else if (Parameters[1].AsInt == 1)
               {
                  Backtester.CancelationCode = 360;
                  CloseAtTrailingStop(foundPosition0, TrailingStopType.PointHL, Parameters[0].AsInt, "Выход (Long) trailing stop loss");
               }

               if (enableTakeProfit == true)
               {
                  ClosePosition(foundPosition0, OrderType.Limit, foundPosition0.EntryPrice + takeProfit, "Выход по takeProfit");
               }
               
               if((EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 1] < EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 2] && индикаторEMAHourВключен || !индикаторEMAHourВключен)
                  && индикаторEMA[idx] < индикаторEMA[idx - 1]
                  && (EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 1] < EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 2] && индикаторEMADayВключен || !индикаторEMADayВключен))
               { 
                  ClosePosition(foundPosition0, OrderType.Market, 0, "Выход по индикатору PC для Long");
               }
               
            }
            else
            {
               if ((EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 1] > EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 2] && индикаторEMAHourВключен || !индикаторEMAHourВключен)
                  && индикаторEMA[idx] > индикаторEMA[idx - 1]
                  && (EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 1] > EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 2] && индикаторEMADayВключен || !индикаторEMADayВключен))
               {
                  _transaction = PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Buy");
               }
            }
         }

         Position foundPosition1 = FindOpenPosition(1);         

         if (shortEnabled == true)
         {
            if (foundPosition1 != null)
            {
               выполнилосьУсловиеИндикатораВShort = false;

               if (Parameters[1].AsInt == 0)
               {
                  Backtester.CancelationCode = 360;
                  ClosePosition(foundPosition1, OrderType.Stop, foundPosition1.EntryPrice + Parameters[0].AsInt, "Выход (Long) stop loss");
               }
               else if (Parameters[1].AsInt == 1)
               {
                  Backtester.CancelationCode = 360;
                  CloseAtTrailingStop(foundPosition1, TrailingStopType.PointHL, Parameters[0].AsInt, "Выход (Long) trailing stop loss");
               }

               if (enableTakeProfit == true)
               {
                  ClosePosition(foundPosition1, OrderType.Limit, foundPosition1.EntryPrice - takeProfit, "Выход по takeProfit");
               }

               if((EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 1] > EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 2] && индикаторEMAHourВключен || !индикаторEMAHourВключен)
                  && индикаторEMA[idx] > индикаторEMA[idx - 1]
                  && (EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 1] > EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 2] && индикаторEMADayВключен || !индикаторEMADayВключен))
               {
                  ClosePosition(foundPosition1, OrderType.Market, 0, "Выход по индикатору PC для Short");
               }
            }
            else
            {
               if ((EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 1] < EMAHourMainSymbolByHourNumber[номерЧасаСНачалаТеста - 2] && индикаторEMAHourВключен || !индикаторEMAHourВключен)
                  && индикаторEMA[idx] < индикаторEMA[idx - 1]
                  && (EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 1] < EMADayMainSymbolByDayNumber[номерДняСНачалаТеста - 2] && индикаторEMADayВключен || !индикаторEMADayВключен))
               {
                  _transaction = PlaceTrade(bars, TransactionType.Short, OrderType.Market, 0, 1, "Short");
               }

            }
         }
      }

      /*
      public override void NewWFOInterval(BarHistory bars)
      {         
         source2 = bars.Close;
         externalSymbol = GetHistory(bars, "RI.RVI_1MIN_150505");
         indicator = new StochK(externalSymbol, Parameters[3].AsInt);
         indicator2 = new StochD(bars, Parameters[6].AsInt, Parameters[7].AsInt);
         source3 = bars.Low;
         wilderMAMainSymbolDaily = new WilderMA(bars.Close, Parameters[10].AsInt);
         source5 = bars.Low;
         source6 = bars.Close;
         indicator4 = new StochD(bars, Parameters[6].AsInt, Parameters[7].AsInt);
         source7 = bars.High;
         wilderMAMainSymbolDaily = new WilderMA(bars.Close, Parameters[10].AsInt);
         source8 = new WilderMA(externalSymbol.Close, Parameters[10].AsInt);

         if (Parameters[22].AsInt == 1)
         {
            indicatorYurPos = new YurPosDivVolumeCurrentInterest(bars);

            indicatorWilderMAYurPos = new IndOnInd(bars, new WilderMA(bars.Close, Parameters[10].AsInt), indicatorYurPos);
         }

         if (Parameters[23].AsInt == 1)
         {
            indicatorFizPos = new FizPosDivVolumeCurrentInterest(bars);

            indicatorWilderMAFizPos = new IndOnInd(bars, new WilderMA(bars.Close, Parameters[10].AsInt), indicatorFizPos);
         }

         if (Parameters[24].AsInt == 1)
         {
            indicatorDOMQuantity = new DOMQuantityBidDivQuantityAsk(bars);

            indicatorWilderMADOMQuantity = new IndOnInd(bars, new WilderMA(bars.Close, Parameters[10].AsInt), indicatorDOMQuantity);
         }

         if (Parameters[25].AsInt == 1)
         {
            indicatorDOMVolume = new DOMVolumeBidDivVolumeAsk(bars);
         }
      }
      */

      private double pct;
      private TimeSeries multSource;
      private double pct2;
      private double val2;
      private TimeSeries source2;
      private TimeSeries multSource2;
      private IndicatorBase indicator;
      private BarHistory externalSymbol;
      private double value;
      private bool trailing;
      private IndicatorBase indicator2;
      private double pct3;
      private double val3;
      private TimeSeries source3;
      private TimeSeries multSource3;
      private double pct4;
      private double val4;
      private IndicatorBase wilderMAMainSymbolDaily;
      private TimeSeries multSource4;
      private double pct5;
      private double longEnterBelowLevel;
      private double shortEnterAboveLevel;
      private TimeSeries source5;
      private TimeSeries multSource5;
      private double pct6;
      private double val6;
      private TimeSeries source6;
      private TimeSeries multSource6;

      private double value2;
      private bool trailing2;
      private IndicatorBase indicator4;
      private double pct7;
      private double val7;
      private TimeSeries source7;
      private TimeSeries multSource7;

      private IndicatorBase source8;

      private double pct8;
      private double val8;
      private TimeSeries multSource8;

      private Transaction _transaction;

      private IndicatorBase indicator5;

      private IndicatorBase indicatorYurPos;

      private IndicatorBase indicatorWilderMAYurPos;

      private IndicatorBase indicatorFizPos;

      private IndicatorBase indicatorWilderMAFizPos;

      private IndicatorBase indicatorDOMQuantity;

      private IndicatorBase indicatorWilderMADOMQuantity;

      private IndicatorBase indicatorDOMVolume;

      private IndicatorBase indicatorWilderMADOMVolume;

      private IndicatorBase indicatorOpenHour;
      private IndicatorBase indicatorHighHour;
      private IndicatorBase indicatorLowHour;
      private IndicatorBase indicatorCloseHour;

      private IndicatorBase indicatorOpenHourSecondSymbol;
      private IndicatorBase indicatorHighHourSecondSymbol;
      private IndicatorBase indicatorLowHourSecondSymbol;
      private IndicatorBase indicatorCloseHourSecondSymbol;

      private IndicatorBase indicatorOpenDaily;
      private IndicatorBase indicatorHighDaily;
      private IndicatorBase indicatorLowDaily;
      private IndicatorBase indicatorCloseDaily;

      private IndicatorBase indicatorOpenDailySecondSymbol;
      private IndicatorBase indicatorHighDailySecondSymbol;
      private IndicatorBase indicatorLowDailySecondSymbol;
      private IndicatorBase indicatorCloseDailySecondSymbol;

      private double wilderMAMainSymbolDailyYesterdayValue;

      private double highDailyMainSymbolYesterdayValue;
      private double lowDailyMainSymbolYesterdayValue;

      private bool tryToEnterLongAllDay;
      private bool tryToEnterShortAllDay;

      private bool tryToCloseLongAllDay;
      private bool tryToCloseShortAllDay;

      bool longEnabled;
      bool shortEnabled;

      bool enterOnlyCandleStart;
      int candleStartNumber;

      DateTime enterTime;

      bool запретитьТорговлюВнутриДняLong;

      bool запретитьТорговлюВнутриДняShort;

      int режимТорговли;

      int выйтиЧерезКоличествоДней;

      bool выполнилосьУсловиеИндикатораВShort;

      bool выполнилосьУсловиеИндикатораВLong;

      int takeProfit;

      bool enableTakeProfit;

      private IndicatorBase индикаторВерхнийКаналPC;

      private IndicatorBase индикаторВерхнийКаналЛюстры;

      private IndicatorBase индикаторНижнийКаналPC;

      private IndicatorBase индикаторНижнийКаналЛюстры;

      private IndicatorBase индикаторEMA;
      
      private IndicatorBase emaMainSymbolHour;

      private IndicatorBase emaMainSymbolDay;

      bool былПробойНижнегоКаналаPCВходLongВТечениеДня;

      bool былПробойВерхнегоКаналаPCВходShortВТечениеДня;

      bool былПробойВерхнегоКаналаPC;

      bool былПробойНижнегоКаналаPC;

      double верхнийКаналPCНаМоментСделки;

      double нижнийКаналPCНаМоментСделки;

      int номерДняСНачалаТеста;

      int номерЧасаСНачалаТеста;

      List<double> openHourMainSymbolByHourNumber;
      List<double> highHourMainSymbolByHourNumber;
      List<double> lowHourMainSymbolByHourNumber;
      List<double> closeHourMainSymbolByHourNumber;
      List<double> EMAHourMainSymbolByHourNumber;

      List<double> openDayMainSymbolByDayNumber;
      List<double> highDayMainSymbolByDayNumber;
      List<double> lowDayMainSymbolByDayNumber;
      List<double> closeDayMainSymbolByDayNumber;
      
      List<double> EMADayMainSymbolByDayNumber;      

      bool индикаторEMAHourВключен;

      bool индикаторEMADayВключен;
         
      }   
}

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