Maximum number of symbols in Portfolio Backtester v7?

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Xyzzy
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Maximum number of symbols in Portfolio Backtester v7?

Postby Xyzzy » 04 Jul 2011

Hi,

I know that in version 6, the Portfolio Backtester is capped at 100 symbols. Is there such a limit for version 7? As far as I can tell, there isn't a "hard cap," but I'm running into unexpected results when I push it over 100 symbols using Beta 5.

More specifically, I've been playing with the new beta this weekend, and trying to work with portfolios that have between 110 and 150 symbols. However, I'm receiving inconsistent behavior when I try to optimize these portfolios. More specifically, any of the following might happen for any given portfolio: (1) The optimization will proceed normally and generate expected results. (2) The optimization will stop and display an "out of memory" error. (3) The optimization will stop, but without displaying any error message, and without displaying an optimization report. (4) The optimization will stop, without any error message, but will display a blank optimization report (no data shown).

Items 2-4 will occur on a random basis. For example, the same portfolio and strategy might work fine sometimes, but generate one of these errors at other times. If I close the Portfolio Backtester after an error and try again, it will sometimes work properly.

Of these four outcomes, the third and fourth are the most disconcerting -- the Portfolio Backtester isn't generating any error messages, so it doesn't seem to be "aware" that there's a problem.

Also, the unrpredictable nature of this is a bit frustrating. I understand that there are memory limits given the 32-bit architecture. However, I would be happier if I could generate predictable results -- e.g., if I knew that 150 symbols were too much, I could dial it back to 125 symbols. However, there doesn't seem to be a clear relationship between the number of symbols and the unexpected results above.

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siscop
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Re: Maximum number of symbols in Portfolio Backtester v7?

Postby siscop » 04 Jul 2011

I had the same issue (#1-3 but not #4. #4 was a crash from Portfolio Backtester) after playing around with the Memorymonitor (FAQ #10).
If you also played with it perhaps you should go back to the old value.
viewtopic.php?f=16&t=6845#p41157

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Stan Bokov
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Re: Maximum number of symbols in Portfolio Backtester v7?

Postby Stan Bokov » 04 Jul 2011

Xyzzy wrote:Hi,

I know that in version 6, the Portfolio Backtester is capped at 100 symbols. Is there such a limit for version 7? As far as I can tell, there isn't a "hard cap," but I'm running into unexpected results when I push it over 100 symbols using Beta 5.


You are right - there is no hard cap anymore.

More specifically, I've been playing with the new beta this weekend, and trying to work with portfolios that have between 110 and 150 symbols. However, I'm receiving inconsistent behavior when I try to optimize these portfolios. More specifically, any of the following might happen for any given portfolio: (1) The optimization will proceed normally and generate expected results. (2) The optimization will stop and display an "out of memory" error. (3) The optimization will stop, but without displaying any error message, and without displaying an optimization report. (4) The optimization will stop, without any error message, but will display a blank optimization report (no data shown).

Items 2-4 will occur on a random basis. For example, the same portfolio and strategy might work fine sometimes, but generate one of these errors at other times. If I close the Portfolio Backtester after an error and try again, it will sometimes work properly.

Of these four outcomes, the third and fourth are the most disconcerting -- the Portfolio Backtester isn't generating any error messages, so it doesn't seem to be "aware" that there's a problem.

Also, the unrpredictable nature of this is a bit frustrating. I understand that there are memory limits given the 32-bit architecture. However, I would be happier if I could generate predictable results -- e.g., if I knew that 150 symbols were too much, I could dial it back to 125 symbols. However, there doesn't seem to be a clear relationship between the number of symbols and the unexpected results above.


We haven't seen these issues, otherwise we would have fixed them. I would expect it's something to do with running out of memory - you should monitor your mem usage while you are doing these tests. If you can reproduce it in a reliable manner, please show us, and we can investigate it further.

Another reason why I don't think the number of symbols alone has much to do with this error is because we have tested it with up 1000 symbols, and it was fine. But memory usage is a combination of several things - number of symbols, resolution for each, the amount of history you are requesting, and the size/intensity of your strategies. Try reducing the length of your series, and you may be better off.

Xyzzy
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Re: Maximum number of symbols in Portfolio Backtester v7?

Postby Xyzzy » 04 Jul 2011

Thanks Stan. I'll try to create some examples with reproducible results for you to test.

dougb
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Re: Maximum number of symbols in Portfolio Backtester v7?

Postby dougb » 30 Aug 2011

I have had very similar unpredictable behavior using complicated charts with lots of symbols but with another trading program. I increased my memory to 18Gb but it did not help. As I understand it 32 bit applications cannot use all of the avialable memory. Lots of memory only helps to handle all of the non-MC related activity on your system. Once MC becomes a 64 bit application this problem will probably go away. Anymore I remain very aware of how big my charts become or how many workspaces are open, etc. Otherwise I loose work and often need to start over. Some times the task manager will not even respond. With up to 24Gb of memory available 64 bit trading applications are definately becoming a required feature, no longer optional.

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Henry MultiСharts
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Re: Maximum number of symbols in Portfolio Backtester v7?

Postby Henry MultiСharts » 15 Sep 2011

Currently MultiCharts is a 32 bit application and has a Windows limitation of 2 GB of virtual memory per process. Virtual memory usage can be traced with the help of the Process Explorer (http://technet.microsoft.com/en-us/sysi ... 96653.aspx). The limitation will disappear when we transition to 64 bits. This version is planned to be released later this year.


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