-
Without modifying the existing function, you can reduce the total compute time through parallelisation and the use of multiple threads. Start your process with the -s flag and use peach as shown
.Backtester.Engine peach final_table
I generated your two tables using random data and the threading scales pretty well.
I would say that with queries like this, it would be very helpful for us if you could append sample csv files so that we can quickly load and test potential solutions. Always check that the files dont include client sensitive data before hand, and obscure column data if necessary.
Also, when it comes to optimising functions like this which are critical to your backtesting. Start by making some unit tests with sample data, so that you can be confident that any performance improvements don’t break existing functionality. You could use qspec, k4unit, qunit