Ranking System optimization - how to interpret?

Ranking System optimization - how to interpret?

Kiran
2015-04-26 13:56:47

I ran PBIL optimization through a couple of ranking systems (conceptually quite powerful), but the results are confusing, because the weights of the factors don't add up to 100%.
E.g. i have a system with 3 factors (F1, F2, F3)
a) the best fitness function yielded weights (0,0,1)
b) second best yielded (0,0,6)

1) Shouldn't the factors always add up to 100%
2) Not sure how (a) and (b) are different, because they both recommend using only F3.
3) Finally, if i have hierarchical nodes (e.g. F1->(F11, F12), F2->(F21,F22)), I noticed that the top-level hierarchy weights are not optimized - it assumes equal weightage.
This could give sub-optimal results, and it seems it's best to keep things simple and have 1 flat list of all ranking factors used in optimization.
4) Is Genetic Optimization relevant for Ranking?

Any guideline document/blog outlining how to best use PBIL and/or Genetic optimization of ranking systems and interpret results would be useful.

thanks
Kiran

QuantShare
2015-04-27 04:06:21

A fitness of (0, 0, 1) could be translated into (0%, 0%, 100%)
A fitness of (1, 0, 6) could be translated into (14% (1/7), 0%, 86%)

Yes, it is better to have a single list for optimization.

Please check our documentation for more info about ranking systems. We currently do not have any specific document about using PBIL and GA with ranking systems.

Kiran
2015-05-01 13:26:02

Does the PBIL or Genetic Optimization support Ranking System Optimization with Intra-day data?

- I'm trying to run on 5minute and 15 minute bars, but i get Best and Average Fitness of "NaN" after 9 generations.
- Also noticed that the rebalance period in the PBIL/Genetic settings says "20 Days" not "20 Bars" - is it trying to rebalance after 20 days instead of 20 15-minute bars?

If it doesn't support optimization on intra-day data, what is the alternative for optimizing ranking node weights on intra-day data? Note that specifying the node-weights as parameters in a trading system will get very unweildy if i have 6-10 different nodes.

thanks
Kiran

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