Ability for genetic builder to restart when OOS stagnates instead of IS. Like the "3 data parts approach" in SQ3.

SQ3 had this feature to split the data used for the building process in to 3 segments (training, validation, oos) called the "three data parts approach" in the SQ3 manual based on scientific papers. It was possible to restart genetic evolution based stagnation of the OOS or the validation part of the sample. It was very flexible, we could also choose the metric and base the metric itself on the top strategy, top 5 strategy or all strategies for instance. Can we please have this excellent feature in SQX?

Also as Clonex says, "it should be finished in a way  stop generation when IS fitness is rising and  OS fitness is stagnating or OS fitness is stagnating separately without relation to IS fitness."




 
Attachments
Annotation 2019-08-13 115849.png
(277.09 KiB)
Annotation 2019-08-13 115741.png
(148.80 KiB)
  • Votes +4
  • Project StrategyQuant X
  • Type Feature
  • Status Duplicate
  • Priority Normal
  • Assignee Mark Fric
  • Milestone Build 125

History

b
#1

bentra

13.08.2019 18:07

Task created

b
#2

bentra

13.08.2019 18:10
Voted for this task.
b
#3

bentra

13.08.2019 18:17

Description changed:

SQ3 had this feature to split the data used for the building process in to 3 segments (training, validation, oos) called the "three data parts approach" in the SQ3 manual based on scientific papers. It was possible to restart genetic evolution based stagnation of the OOS or the validation part of the sample. It was very flexible, we could also choose the metric and base the metric itself on the top strategy, top 5 strategy or all strategies for instance. Can we please have this excellent feature in SQX?

Also as Clonex says, "it should be finished in a way  stop generation when IS fitness is rising and  OS fitness is stagnating or OS fitness is stagnating separately without relation to IS fitness."




 

IH
#4

clonex / Ivan Hudec

14.08.2019 13:41
Voted for this task.
FB
#5

lumbrjack

14.08.2019 20:11
Voted for this task.
da
#6

Artur

21.08.2019 18:42
Voted for this task.
MF
#7

Mark Fric

23.08.2019 08:25

Assignee changed from Mark Fric to Mark Fric

Status changed from New to Duplicate

duplicate of: https://roadmap.strategyquant.com/tasks/sq4_5241
MF
#8

Mark Fric

23.09.2019 14:45

Milestone changed from None to Build 125


Votes: +4

Drop files to upload

or

choose files

Max size: 5MB

Not allowed: exe, msi, application, reg, php, js, htaccess, htpasswd, gitignore

...
Wait please