How to map the chromosome to the optimal rule in PBIL optimization?

How to map the chromosome to the optimal rule in PBIL optimization?

Kiran
2015-04-11 13:41:31

I followed this blog (http://www.quantshare.com/sa-586-let-me-show-you-how-to-create-hundreds-of-profitable-trading-systems) to build a multi-rule system and optimized using PBIL.
My rule-set has only 14 rules, but some of them have multiple parameters - e.g. P1 (min=10, max=60, step=20) and P2 (min=0, max=10, step=5), which generate 100's of rules.

How do i map the optimal chromosomes a and b below to the rules? Couldn't find a menu option in the Optimizer that shows this mapping.
I'm not sure what order the rules are numbered in this ?ApplyRule command, which determines the chromosome.
ct = ApplyRule("", "stock_picking", -1);

// Information from AI Optimizer
// Update the following variables in your formula:
// a = 3
// b = 44
// r1 = 0
// r2 = 0
// w1 = 10
// pick Entry rules
ct = ApplyRule("", "stock_picking", -1); // Return number of rules
Optimize("a", 0, ct - 1, 1); // Optimize variable "a" from 0 to Number of rules -1
Optimize("b", 0, ct - 1, 1); // Optimize variable "a" from 0 to Number of rules -1
rule1 = ApplyRule("", "stock_picking", a) AND ApplyRule("", "stock_picking", b) ; // Execute the rule specified by the index value referenced by variable "a"

Ruleset
http://www.quantshare.com/sa-586-let-me-show-you-how-to-create-hundreds-of-profitable-trading-systems

QuantShare
2015-04-13 02:39:27

You just need to comment "Optimize" functions and add the variables like this:

// Optimize("a", 0, ct - 1, 1);
// Optimize("b", 0, ct - 1, 1);

a = 3;
b = 44;

Get more messages

No more messages

Back


Trading Items The 2 Percent Rule How far are the close prices from the support line Market Rule based on the Crossover Between Stock Close prices and... Number of Times an Event Occurred in the First N-Minutes of a Tra... Trading Rules to use with the Trading System Optimizer	How-to Lessons How to download a trading item from the Sharing Server How to dynamically update the settings of an indicator How to plot the relative performance of several stocks/indices How to plot the number of stock tweets per day How to automate the data downloading process
Related Forum Threads How do you retrieve the entry and exit price for a position? How do I refer to the close price of another symbol in a formula? How to view the raw data files? How do I simulate if then statements for the simulator? How to determine if the a given day is a trading day?	Blog Posts How to create market indicators using the composite function - Pa... Buy the best/top rated stocks or how to create powerful rank base... How to use the new Market Regimes Feature in QuantShare Trading S... How to Pick the Best Trend Indicators How to Display the Year-to-Date Excess Return in a Pivot Table