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;

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