Backtest & Optimization at lightning speed with BTUtils for Wealth-Lab
Author: Domintia-Carlos
Creation Date: 6/8/2019 5:11 PM
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Domintia-Carlos

#1
Dear Wealth-Lab Users:

I want to announce the release of BTUtils for Wealth-Lab, a tool that greatly accelerates the backtests and optimizations (UP TO HUNDRED OF TIMES FASTER!) carried out with Wealth-Lab Dev/Pro thanks to its parallel implementation able to run in modern multicore machines.
The tools are seamlessly integrated into Wealth-Lab and work with almost every WealthScript and compiled strategies, without the need to modify them.

BTUtils for Wealth-Lab includes the following tools:

-BTSimulator: Tool to backtest strategies much faster than with WL native simulator.
-BTOptimizer: Tool to execute optimizations with GIGANTIC speedups.
-BTWalker: Much faster and more flexible Walk forward optimization utility (IN DEVELOPMENT)
-BTWatchLists: Watch-lists creation utility with some improvements.
-BTScorecard: A speed optimized scorecard that includes all of the most useful metrics of other scorecards and several additional features.


Check the BTUtils for Wealth-Lab web page and take a look at the videos.

Also, take a look to BTAnalytics our powerful backtest storage, analysis, and strategy improvement application that also integrates seamlessly with Wealth-Lab.

Carlos Pérez
https://www.domintia.com
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Eugene

#2
This is really a breakthrough for power users!

Way to go Carlos & Domintia!
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Carova

#3
Hi Carlos!

Interesting concept. Which Optimizers are supported in BTOptimizer? Also, when do you expect to have BTWalker available? Thanks!

Vince
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Domintia-Carlos

#4
Hi, Carova.

All optimizers except 'Particle Swarm' work with BTUtils for Wealth-Lab.
Particle Swarm optimizer should be very easy to modify to work with BTUtils for WL, so I will contact the author to discuss how it can be done.

Regarding BTWalker, there are a few months left before I can have some time to finish it.

thanks for your interest!

Carlos Pérez
https://www.domintia.com
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Carova

#5
Hi Carlos!

If you get the Particle Swarm Optimizer included I would definitely be interested. It is the only optimizer I use.

Thanks!

Vince
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superticker

#6
QUOTE:
If you get the Particle Swarm Optimizer included I would definitely be interested. It is the only optimizer I use.
Same here. It's the only optimizer I use. Due to slowness, I only optimize over 800 daily bars, but I would like to optimize over 1500 bars to get more trades on some sparely traded stocks.
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Eugene

#7
For PSO requests please start a new topic or use thread below:

Particle Swarm Optimizer - New tool in the Wealth-Lab toolbox
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jairofraga

#8
I noticed that Domintia website is offline for some time already.

Other than that, I found some bugs (or I'm misusing those somehow), which I don't know if it's better to open a new topic or to report them here, which I will do for now.

- When using max risk % pos sizers I get 0 trades on BTOptimizer.
- Not possible to change scale on Scale option of Wealth-lab
- Many metrics are distant to the ones calculated using native WL simulator, specially APD/APAD ratios, which are more than a hundred on BTUtils but usually less than 1 on native WL. Also there are small differences on Ulcer Index, Sharpe Ratio, etc
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superticker

#9
QUOTE:
I noticed that Domintia website is offline for some time already.
Their website works okay for me on Firefox and Chrome. Which browser are you using? Post your issues to their forum. https://www.domintia.com/forum/index
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jairofraga

#10
Thanks, the website works on Firefox. I also have the same problem when accessing the WL wiki, which is only accessible for me using Firefox, due to SSL errors.
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