Custom Fitness function in Ranking System Manager

Custom Fitness function in Ranking System Manager

Kiran
2019-03-13 01:22:48

Want to define a Fitness function to evaluate ranking systems that reports (1yr + 3yr + 5yr) returns
Fitness = perf(close,250) + perf(close,750) + perf(close,1250);

But, how do i define 1-year return in Fitness function?
The portfolio variables in custom fitness functions in Simulator Custom Metrics are not available for the Ranking System Analyzer Custom Fitness IDE.

QuantShare
2019-03-13 03:45:26

You can only use the existing metrics. Use CONTROL+SPACE after "Fitness = " to get a list of available metrics.

Kiran
2019-03-13 10:52:44

Which ones are existing avaialble metrics? Pl point me to these.
I don't see any - just see some Global, Internal, Bucket functions which aren't really fitness metrircs.

QuantShare
2019-03-15 07:19:43

You need to use the "Buckets" class.
Click on "Help" at the bottom for the definition of the class and its properties.

Example:
Fitness = Buckets.Buckets[0].AnnualReturn; // Annual return of the first bucket
Fitness = Buckets.LastBucket.DetailsDate[0].AvgPerf; // Average performance of the first date in the last bucket

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