Portfolio optimiser

31 replies

mabi

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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

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Gui

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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

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mikeyc

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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.

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mikeyc

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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.

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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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

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mabi

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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.

 

java.util.concurrent.ExecutionException: java.lang.OutOfMemoryError: Java heap space
at java.util.concurrent.FutureTask.report(FutureTask.java:123)
at java.util.concurrent.FutureTask.get(FutureTask.java:193)

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Tamas

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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

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mabi

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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.

 

 

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mabi

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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.

 
But if you want to run QA with more memory you can change the setting in QuantAnalyzer4.config file in the QA folder.
 
Just change the line:
 
option -Xmx8g 

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mabi

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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.

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mikeyc

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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?

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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7 years ago #140013

it is almost finished, we will release it today or on Monday next week

Mark
StrategyQuant architect

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mikeyc

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7 years ago #140014

Great stuff, take time to test it thoroughly, thanks.

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Mark Fric

Administrator, sq-ultimate, 2 replies.

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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

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mabi

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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 !!

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mikeyc

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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

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