Examine slow metrics computation

[Mr-Geekman]

🚀 Feature Request

Currently in some backtesting pipelines the bottleneck could be a metric computation. It isn't a good situation. We should discover why is it happening.

Proposal

We should try to understand why metrics are computed very slow for a big number of segments.

The problem probably lies in per-segment metric computation. We could compute it more optimally, but our current Metric implementation isn't suited for that: it is very strict about how metric is computed using metric_fn. Probably, we could significantly improve even this kind of computation if we could iterate over segments more optimally.

Steps:

• Profile metric computation for different number of segments and features;
• Find out what place is bottleneck;
• Describe the problem in the comments of the issue.

Test cases

No response

Additional context

No response