BUG: Fix optimization hanging on MS Windows

Fixes #1256

Author: kernc

backtesting/__init__.py

@@ -68,3 +68,23 @@
 from . import lib  # noqa: F401
 from ._plotting import set_bokeh_output  # noqa: F401
 from .backtesting import Backtest, Strategy  # noqa: F401
+
+
+# Add overridable backtesting.Pool used for parallel optimization
+def Pool(processes=None, initializer=None, initargs=()):
+    import multiprocessing as mp
+    if mp.get_start_method() == 'spawn':
+        import warnings
+        warnings.warn(
+            "If you want to use multi-process optimization with "
+            "`multiprocessing.get_start_method() == 'spawn'` (e.g. on Windows),"
+            "set `backtesting.Pool = multiprocessing.Pool` (or of the desired context) "
+            "and hide `bt.optimize()` call behind a `if __name__ == '__main__'` guard. "
+            "Currently using thread-based paralellism, "
+            "which might be slightly slower for non-numpy / non-GIL-releasing code. "
+            "See https://github.com/kernc/backtesting.py/issues/1256",
+            category=RuntimeWarning, stacklevel=3)
+        from multiprocessing.dummy import Pool
+        return Pool(processes, initializer, initargs)
+    else:
+        return mp.Pool(processes, initializer, initargs)

backtesting/backtesting.py

@@ -8,7 +8,6 @@
 
 from __future__ import annotations
 
-import multiprocessing as mp
 import sys
 import warnings
 from abc import ABCMeta, abstractmethod
@@ -1503,9 +1502,9 @@ def _optimize_grid() -> Union[pd.Series, Tuple[pd.Series, pd.Series]]:
                                     [p.values() for p in param_combos],
                                     names=next(iter(param_combos)).keys()))
 
-            with mp.Pool() as pool, \
-                    SharedMemoryManager() as smm:
-
+            from . import Pool
+            with SharedMemoryManager() as smm, \
+                    Pool(processes=1) as pool:
                 with patch(self, '_data', None):
                     bt = copy(self)  # bt._data will be reassigned in _mp_task worker
                 results = _tqdm(

backtesting/lib.py

@@ -13,7 +13,6 @@
 
 from __future__ import annotations
 
-import multiprocessing as mp
 import warnings
 from collections import OrderedDict
 from inspect import currentframe
@@ -569,7 +568,8 @@ def run(self, **kwargs):
         Wraps `backtesting.backtesting.Backtest.run`. Returns `pd.DataFrame` with
         currency indexes in columns.
         """
-        with mp.Pool() as pool, \
+        from . import Pool
+        with Pool() as pool, \
                 SharedMemoryManager() as smm:
             shm = [smm.df2shm(df) for df in self._dfs]
             results = _tqdm(

backtesting/test/_test.py

@@ -1001,7 +1001,6 @@ def test_indicators_picklable(self):
 class TestDocs(TestCase):
     DOCS_DIR = os.path.join(os.path.dirname(__file__), '..', '..', 'doc')
 
-    @unittest.skipIf('win' in sys.platform, "Locks up with `ModuleNotFoundError: No module named '<run_path>'`")
     @unittest.skipUnless(os.path.isdir(DOCS_DIR), "docs dir doesn't exist")
     def test_examples(self):
         examples = glob(os.path.join(self.DOCS_DIR, 'examples', '*.py'))

doc/examples/Quick Start User Guide.py renamed to doc/examples/QuickStartUserGuide.py

@@ -184,6 +184,8 @@ def next(self):
 # +
 # %%time
 
+# if __name__ == '__main__':
+
 stats = bt.optimize(n1=range(5, 30, 5),
                     n2=range(10, 70, 5),
                     maximize='Equity Final [$]',