Backtest Duration of the Deep Reinforcement Learning

Quant Trading Strategies & Ideas
1

I've tried backtesting the Deep Reinforcement Learning capstone data and it is still running for a few hours. How long does it take to finish the backtesting for Deep Reinforcement Learning?

2

Hi Marcus,

We tried backtesting the RL strategy on a system with the following configuration:

  • i5 processor
  • 32 GB RAM
  • 160 GB SSD
  • 2 GB graphic card
And the backtest took approximately 10-14 hours until completion.

As a starting point, I recommend you run the backtest over limited data (for instance, 1 year data) and then use this completion time to estimate how long it may take you to run the backtest on the entire dataset.  

I hope this was helpful.
3

Thanks Kevin!