Next Quant Analyzer Update?

Hi

 

Do you know when will you realease next Quant Analyzer update?

 

Thanks

It will be released today.

 

Sincerely,

Tomas

And the next one 😉

Good question because the portfolio optimization doesn’t work for me when there are hundreds of strategies to select from.

@mikeyc

 

What is a problem exactly? It works for me. 

 

Could you please provide more details about the problem with printscreens and log files ?

Is there still a problem with OutOfMemoryError.

 

I have a computer with i7-8cores and 8GB ram. Tested it with 300 strategies where each of them has around 1000 orders.

 

Tomas

@mikeyc

 

What is a problem exactly? It works for me. 

 

Could you please provide more details about the problem with printscreens and log files ?

Is there still a problem with OutOfMemoryError.

 

I have a computer with i7-8cores and 8GB ram. Tested it with 300 strategies where each of them has around 1000 orders.

 

Tomas

 

Hi,

 

I will retry, if I have the same issues (it would just stop processing I think) I will send a screenshot of the portfolio master settings and a zipped up file of each of the strategies.

 

I am using the STR files as individual strategies.

 

Cheers,

 

Mike

@mikeyc

 

What is a problem exactly? It works for me. 

 

Could you please provide more details about the problem with printscreens and log files ?

Is there still a problem with OutOfMemoryError.

 

I have a computer with i7-8cores and 8GB ram. Tested it with 300 strategies where each of them has around 1000 orders.

 

Tomas

 

Hi Tomas,

 

Some background.  I am using the alternative (Zulu) Java runtime and the QA4 is launched like this:

 

C:\QuantAnalyzer4\QuantAnalyzer4.exe -J-server -J-Xmx8g -J-XX:+DisableExplicitGC -J-XX:+AggressiveOpts -J-XX:+UseSerialGC

 

I am loading STR files.  They are M5 strategies.  It doesn’t seem to matter if I select 100 strategies or 500 strategies, the process freezes and the UI become unresponsive are a few minutes.

 

Here are some example settings:

 

I click compute portfolios and UI becomes unreponsive and doesn’t update after a short period of time. 

 

Please try it with a 100 or so M5 strategies created by SQ3.  It’s a very bad user experience.

 

Thanks,

 

Mike

@MikeyC,

 

I noticed especially using Brute force that it was more like a hard drive cache problem. I installed http://dimmdrive.com/ and added QA to it and enabled it. Now it does like 500.000 per min and never stops. But I know @Lucca has a problem as well on his VPS with QA. Maybe you need to reinstall it or Java on your machine. I used C:\QuantAnalyzer4\QuantAnalyzer4.exe -J-server -J-Xmx8g -J-XX:+DisableExplicitGC -J-XX:+AggressiveOpts -J-XX:+UseSerialGC  aswell but have removed it you do not need it. One thing I noticed is that un ticking Auto scroll on log window improved performance a lot.

Hi Mabi,

 

Thanks for posting this, it is the autoscroll on the log window that kills the portfolio builder for me.

 

Using the Zulu JVM and those settings I get 1,311,000 generations per minute (correlation by hour) using a pool of 41 strategies. 

 

For me QA4 does not use any disk activity, it is all done in memory.

An observation, Brute force is completely pointless.

 

Let’s say strategy 1 and 2 are highly correlated.  It will run through all the combinations in order, but since the first two are correlated it will run through vast numbers of pointless strategy combinations that will all fail because strategy 1 and 2 are strongly correlated.

 

It would be so easy to add some logic to the brute force so that as soon as strategy X and Y (e.g. 1 & 2) are found to be correlated, this pairing is never tested again, and repeat for all other pairs that exceed the correlation threshold.

 

Otherwise it churns through literally millions of pointless tests.

Also, the Portfolio Builder doesn’t seem to use multiple cores very efficiently, often the max CPU usage is around 20% on a four core / eight thread CPU.

Actually i do not know in which order i tested this might have been the autoscroll window that did it for me to and not the ram thingy. 

But it does actually improve the Cpu usage using SQ3 on my core i7it wobble between 40-100% on one session only.Might be great for SQ4.