After 7 hours I decided to terminate the test. The test shows that 106,000 strategies were generated. Out of the 106,000 strategies generator 362 strategies passed the Generator filtering which also indicates 362 strategies passed the 10% OOS filtering further indicating OOS filtering is not a problem in collecting strategies. Next the 362 strategies moved to the Monte Carlo filtering were only 2 strategies passed and was moved the the Collection. This indicates that the Monte Carlo filtering heavily rejected the generated strategies indicating that to pass a large number of strategies to the Collection more time is required than the 7 hours. Personally, I was surprised that so many strategies failed to make it through the complete filtering process. I believe this could be a result of the current trading environment. It is a well known fact that the month of September is the most difficult month for trading. This could also be the reason not many strategies passed and were moved to the Collection. In order to collect more strategies it might be necessary to run the Reactor for 24 hours of 1440 minutes. Also note more than one reactor can run at the same time. A PC with an i5 processor can run as many as 3 Reactors at the same time. More than this number of Reactors simply slows down the speed of collecting strategies without realizing an increase in the number of strategies collected. A PC running an i7 processor can run as many a 5 Reactors at the same time. The test I ran today was with a PC with an i7 processor. A PC with an i5 processor most likely would not have had any strategies passing all the filtering. A solution would be to not run the strategies through the Monte Carlo process. A much better solution would be to use the ExpressGenerator to collect strategies.
