The archive option was removed in one of the Moneydance 2015 releases, it was causing Data Integrity issues.
Even if it worked perfectly however using it would not make your data set smaller, it would in fact make the data set larger, due to the way writes data as a series of changes rather than a modification of the original entry, so any archive process would have the effect of the original transaction being there then there being a new transaction to delete it.
I certainly know of no way of splitting the file(s)
There is no current supported way of making the data set smaller - the problem usually stems not from the size of the data but the fact that Moneydance uses a type of journaling so there are a large number of small files.
A number of users have suggested different approaches that a user can use to address this but for every approach someone can be found who believes it causes or can potentially cause problems. The best I can say is as users we do not have enough information to really know what can and cannot be done and all possible implications.
The next version of Moneydance is supposed to have better housekeeping
The following is an answer today by the Moneydance software developer, Sean, to a similar question to yours. Hope it helps.
“the reason it takes so long is that MD archives the entire data file, which is a cumulative list of all changes ever made to the file. For that reason, the "archive" function didn't reduce the size of the file but could often increase the size. This is because removing old transactions increased the number of changes and thus the size of the file. The about-to-be-released MD2019 does an internal archive by compressing and consolidating the internal change-log files which reduces the size of the overall file but (more importantly) vastly reduces the number of change-log files that it needs to scan at launch and shutdown.”
I appreciate your response and the explanation below. However, it used to be possible in the past to split your Moneydance file into smaller files, each covering a few years.
Every couple of years I would create an "archive" file covering a couple of years, and then a current file. I don't need 10-15 years of checking or credit card data in the current file, but it was nice to have the option of going back occasionally to look for a very old transaction. And each of these smaller files opens much faster then the current huge file.
From comments from Sean Archiving (splitting files) has gone for good. Apparently, it created more problems than it solved for users with Security investment accounts.
If you upgrade to 2019 when its out of beta testing and released, it would be interesting to know if it reduces the data set size and also speeds up opening and closing as Sean seems to think.