Looking at your code, I would increase the subsample_rate. A default of 1 gives you a huge number of variables, due to the GaussianRandomWalk, which slows the sampling down a lot. I found some success in speeding up in the 20-30 range.
Having a subsample rate of around 21 also makes intuitive sense with a rolling covariance estimate, as it essentially gives you the monthly covariances (21 trading days in a month).
Another concern with low subsample_rate is an accompanying low number of samples for each likelihood (at the extreme case of subsample_rate=1, only one sample each).