My dataset is the ES from 1/1/2009 - 9/25/2009 ... so about 9 months of data. My strategy had 3 variables and I varied them like this:
VAR1: 2 => 4
VAR2: 4 => 16
VAR3: 4 => 32
This turns out to be 1,131 iterations, and NT's optimizer handled this no problem--it took a few hours to complete, but it work and I was thrilled.
I then thought of a couple additional factors, which led me to 5 variables, and I expanded by VAR2 and VAR3 variables slightly. So I ended up with this:
VAR1: 2 => 4
VAR2: 2 => 32
VAR3: 2 => 32
VAR4: 2 => 32
VAR5: -32 => 32
Those variables above equate to 5,809,245 combinations!!! And NT ran into the dreaded "Out of Memory exception" [memory peaked around 1.2 GB].
So my question is this: does anyone have a good understanding about the optimizer and how many permutations/iterations it can handle before it's "too many"? I don't mind logically breaking up my optimizations...I just want to setup an optimization, let it run for 12+ hours, and have confidence that it completes successfully and that it didn't run out of memory or whatever.
Thanks for any thoughts about this.
-Aaron
Comment