"Soft bounds" of fitness calculation are too tight for an optimization task for one or more columns...

I noticed some weirdness with R Expectancy Score in the optimizer and now I see that a "soft" lower and upper bounds (where anything higher or lower or nearing the soft bounds gets "diminishing returns" in effecting the fitness score - which is brilliant btw, well-done sq team) for weighted fitness scores from this line in the column snippet:


super(L.tsq("R Expectancy Score"), DatabankColumn.Decimal2, ValueTypes.Maximize, 0, -5, 5);


These bounds are too tight for the R Expectancy Score and (possibly other columns) during optimization as RES can be nearing 500 with a large number of trades while optimizing. Although I can see the bounds are maybe almost reasonable for a typical build task, they are not really reasonable for an optimization task. It's very touchy or even impossible to attempt to rectify this by increasing the weight multiplier when nearing or at the absolute upper bounds (where a full max score is already given or almost given for individual criteria.) 

May I suggest having the upper and lower soft bounds be configurable inside the weighted fitness table instead of coded into the snippet like this? Also, maybe we can get "fitness criteria #1 fitness" and "fitness criteria #2 fitness" as columns or a single column with a text CSV breakdown of the criteria calcs so we can see when upper bounds are nearing of particular criteria. This took a long long time for me to figure out why RES wasn't working well inside a multi stat fitness for optimizations. Probably other columns are affected the same way.

BTW I want to control precisely these soft bounds for MINIMIZE/MAXIMIZE and it would be nice not to have to create a new column snippet every time I want to adjust these. I do not wish to use APPROXIMATE as this calculation actually penalizes for going OVER the target amount where MAXIMIZE would not.

Attachments
No attachments
  • Votes +10
  • Project StrategyQuant X
  • Type Feature
  • Status New
  • Priority Normal

History

b
#1

bentra

05.02.2022 17:52

Task created

b
#2

bentra

05.02.2022 18:30
Voted for this task.
b
#3

bentra

05.02.2022 19:44
Another idea: APPROXIMATE-MAXIMIZE could use the APPROXIMATE formula but NOT penalize overshooting the target. 
E
#4

Emmanuel

09.02.2022 14:42
Voted for this task.
g
#5

geektrader

10.02.2022 10:23
Voted for this task.
l
#6

Loonly

18.02.2022 14:24
Voted for this task.
JH
#7

Jabezz

19.02.2022 04:16
Voted for this task.
IH
#8

clonex / Ivan Hudec

19.02.2022 12:29
Voted for this task.
JJ
#9

jjsb41

19.02.2022 13:03
Voted for this task.
CG
#10

Chris G

18.04.2022 18:52
Voted for this task.
k
#11

Karish

17.06.2022 16:43
Voted for this task.
a
#12

astral

16.08.2022 10:15
Voted for this task.

Votes: +10

Drop files to upload

or

choose files

Max size: 5MB

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

...
Wait please