Im using a fearly big universe, North America (primary) with a volume control: MedianDailyTot(120) >( 70* 1000)
Every simulation I run because of this take a lot of time. Is there any way, besides “not to save transaction”, to speed up this prosess?
What’s the speed difference without? MedianDailyTot should not be that big of a deal. What sim?
Yeah, nothing in your setup sounds that extraordinary. I’d check under Rebalance whether “Force Positions into Universe” is set to Yes. I’m my experience that has been a major performance killer, as has the use of Rating/RatingPos in a Buy/Sell rule to look up an external rank as that doesn’t benefit from the ranking system cache.
correct. Things like Random and Force Pos into Universe disable the rank caching which lasts about 30 min. Caching of ranks can be a big performance boost for re-runs that do not change the ranking system & universe.
Could it be that I’m running 150 nodes on a universe of 3500 stocks? Could nodes set to 0% become a drag as well?
? Do anyone know?
I think nodes set to 0% cannot be a drag; at least I have experienced a ranking system become much faster to use when I set the ‘slow’ factor (one with some loopsum formula) to 0%
We need to examine it. What’s the sim?
Am I understanding it correctly, to use more rules in the universe, so that the universe becomes smaller, is not increasing the speed of the simulator?
My strategy mostly trades smallcap < 1000, and if I use price and volume rules on NorthAmerica Universe, I reduce the number of shares by several thousand (MedianDailyTot(120)>( 70* 1000) and StaleStmt = 0 and price>1 and MktCap < 1000) , but the speed of the simulator does not seem to increase.
What I then end up with is even more with “NO Ranking”, and if I then use “force into universe” to fix this this also takes a very long time.
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Smaller universe for sure is faster, but if you then have to “force into universe” then it probably same (or worse since you loose the benefit of caching for reruns).
You have a very large ranking system with hundreds of factors and some complex ones too. Only solution for you at the moment is to simplify.
Or having access to faster/newer servers. Newer machines are easily 2x to 3x faster than what we have now
To make sense for us financially, maybe we can create a premium service that accesses the newest/fastest machines. If there’s demand for this we will do it.
Thanks
Faster machines and that idea of multiple simultaneous sims would be very nice. Does P123 run on dedicated hardware or in the cloud with something like AWS?
TL;DR: You could probably automate some processes and run them in batches at night—or whenever you have lower server utilization.
I will leave it to each member to decide how much of what they do could be automated and done while they sleep. And for P123 to decide how a more steady stream of server utilization might benefit them—including any savings on new machines.
BTW, are any of you old enough to remember handing someone at the University (or wherever) a stack of punch cards and having someone run them over night? Like that (uh, I have seen it in movies)
Thanks for the reply Jrinne. Yes, it would have been incredibly good to automate this in some way, for example when you want to adjust a node up and down 1% or 2% and test this in a simulator. This is a very long and annoying process.
TL:DR it does not have to be just about “speeding up the simulator.”
SteveA had a spreadsheet that–with P123’s optimizer–would find the optimal solution for a ranking system automatically. But you would have to take the best solution from the optimizer, enter it into the spreadsheet, copy the spreadsheet’s output and paste this back into the optimizer, let it run, take the best solution from the optimizer and put it back into the spreadsheet,………repeat. The entire process could be automated at P123, I believe.
Yes Jrinne, I remember university days where the Virtual Machine option on the 360/67 was dropped at 10pm and the only way to do anything after that was with cards in batch. And one horrid night in pouring rain dropping a box of cards with my latest coursework.
Then my first job out of college was with a small money manager and we still used cards. My cell phone has multiples of power and space than that entire installation.
Cheers,
Rich
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