# Running Back-tests in parallel

November 11, 2013
By

(This article was first published on Systematic Investor » R, and kindly contributed to R-bloggers)

Once you start experimenting with many different asset allocation algorithms, the computation time of running the back-tests can be substantial. One simple way to solve the computation time problem is to run the back-tests in parallel. I.e. if the asset allocation algorithm does not use the prior period holdings to make decision about current allocation, we can run many periods in parallel.

In the Update for Backtesting Asset Allocation Portfolios post, I show cased the portfolio.allocation.helper() function in strategy.r at github. The portfolio.allocation.helper() function is a user-friendly interface to evaluate multiple asset allocation algorithms over given asset universe in a sequential fashion.

Following is a sample code from the Update for Backtesting Asset Allocation Portfolios post:

    #*****************************************************************
# Code Strategies
#******************************************************************
obj = portfolio.allocation.helper(data$prices, periodicity = 'months', lookback.len = 60, min.risk.fns = list( EW=equal.weight.portfolio, RP=risk.parity.portfolio, MD=max.div.portfolio, MV=min.var.portfolio, MVE=min.var.excel.portfolio, MV2=min.var2.portfolio, MC=min.corr.portfolio, MCE=min.corr.excel.portfolio, MC2=min.corr2.portfolio, MS=max.sharpe.portfolio(), ERC = equal.risk.contribution.portfolio, # target retunr / risk TRET.12 = target.return.portfolio(12/100), TRISK.10 = target.risk.portfolio(10/100), # rso RSO.RP.5 = rso.portfolio(risk.parity.portfolio, 5, 500), # others MMaxLoss = min.maxloss.portfolio, MMad = min.mad.portfolio, MCVaR = min.cvar.portfolio, MCDaR = min.cdar.portfolio, MMadDown = min.mad.downside.portfolio, MRiskDown = min.risk.downside.portfolio, MCorCov = min.cor.insteadof.cov.portfolio ) )  To run the same strategies in parallel, I created the portfolio.allocation.helper.parallel() function in strategy.r at github. There is one extra input that you need to specify: cores – number of CPU processors used for computations. For example, the code below will use 2 CPU processors to run back-test computations. It will run faster than the portfolio.allocation.helper() function.  #***************************************************************** # Code Strategies #****************************************************************** obj = portfolio.allocation.helper.parallel(cores = 2, data$prices,
periodicity = 'months', lookback.len = 60,
min.risk.fns = list(
EW=equal.weight.portfolio,
RP=risk.parity.portfolio,
MD=max.div.portfolio,

MV=min.var.portfolio,
MVE=min.var.excel.portfolio,
MV2=min.var2.portfolio,

MC=min.corr.portfolio,
MCE=min.corr.excel.portfolio,
MC2=min.corr2.portfolio,

MS=max.sharpe.portfolio(),
ERC = equal.risk.contribution.portfolio,

# target retunr / risk
TRET.12 = target.return.portfolio(12/100),
TRISK.10 = target.risk.portfolio(10/100),

# rso
RSO.RP.5 = rso.portfolio(risk.parity.portfolio, 5, 500),

# others
MMaxLoss = min.maxloss.portfolio,
MCVaR = min.cvar.portfolio,
MCDaR = min.cdar.portfolio,
MRiskDown = min.risk.downside.portfolio,
)
)


Hopefully, I did not ruin your prolong lunch plans