Portfolio optimiser
31 replies
mabi
7 years ago #115657
I seems Quantanalyser craches on out of ram when closing in on 9 gig of ram usage when using the portfolio analyser. Is there a fix for this as with SQ to give it more ram ?
Thanks
Gui
7 years ago #139800
Hi mabi, I encounter that very annoying problem too. It seems I can’t get past the 9 million mark portfolio calculation. It sorts of defeat the purpose of it 🙁 .
Tomas, Mark, how shall we proceed? I get a java memory error too.
Thanks!!!!
Think different
mikeyc
7 years ago #139816
I tried to use the optimiser today, as you say after running for some time and using a lot of RAM it ceases to respond to the Stop button and I have to kill it.
Looks like it needs urgent attention.
mikeyc
7 years ago #139823
Tried again, as soon as the portfolio master starts running, it becomes unresponsive and I have to kill the process, rendering it unusuable.
Mark Fric
7 years ago #139838
we will look at it, we are going to release an update next week, so we will fix it.
Mark
StrategyQuant architect
mabi
7 years ago #139847
Good news !.
Got the same using Brute force this time after 15 min only !. Even when replaced the Java with the Geektraders version.
Tamas
7 years ago #139849
Hello all,
could you please paste here your settings from the Optimizer panel?
How many strategies are selected for creating portfolios, number of max portfolios in databank, selected fitness function and so on.
Tomas
mabi
7 years ago #139850
Hi,
95 strategies it also crached with 40 strategies and other settings. Even on my server with 140 gig free ram.
mabi
7 years ago #139853
Found this.. It fixes the problem until you run out of ram on the putor it keeps building i stopped at 16 gig
The maximum memory used by Quant Analyzer is 8 GB, which should be enough for anything.
mabi
7 years ago #139950
Running portfolio analyser on 2 different machines it looks like the more cores the more memory it uses. Using 20 cores ( supposedly it only uses 1 cpu) it really build up memory from the start but it really does not use the cores anyway so you might wanna restrict that somehow like with SQ.
mikeyc
7 years ago #139996
we will look at it, we are going to release an update next week, so we will fix it.
Any news on the update Mark?
Mark Fric
7 years ago #140013
it is almost finished, we will release it today or on Monday next week
Mark
StrategyQuant architect
mikeyc
7 years ago #140014
Great stuff, take time to test it thoroughly, thanks.
Mark Fric
7 years ago #140048
we just released new QuantAnalyzer update, the program should be automatically updated next time you start it.
We fixed memory and freezing issues in Portfolio Master, fixed bugs in some import formats, and added one new feature – computing open equity using historical minute data.
Mark
StrategyQuant architect
mabi
7 years ago #140053
we just released new QuantAnalyzer update, the program should be automatically updated next time you start it.
We fixed memory and freezing issues in Portfolio Master, fixed bugs in some import formats, and added one new feature – computing open equity using historical minute data.
Seems fine now.. really fast aswell , Thank you !!
mikeyc
7 years ago #140058
Thanks for the update. I’m using the optimiser now.
I’m a bit confused to how it works in Genetic mode.
For example, if I have 749 strategies, and I want to find a portfolio with exactly 10 strategies in, it tells me there are 14416228821273977223526 combinations, which is quite a few.
However, assuming I have specified a max correlation of 0.4, then if any two strategies exhibit a correlation together that is more that 0.4, they should never be selected ever again in the computation. Based on this, many of the strategy pairs should drop out quite quickly.
Has the optimiser been implemented to take advantage of this shortcut?
Thanks,
Mike