Feature Selection for a linear model with a Genetic Algorithm vs Ridge Regression

[Jrinne]

@pitmaster

Did you consider to create a custom scorer that select features which maximise sortino/sharpe based on selecting X stocks with highest predicted return for each period… ?

Pitmaster,

Thank you for suggesting a custom scorer. The scorer here is the average weekly returns for 15-stocks rebalanced weekly using a P123 download.

Here is how it worked. Converges fairly quickly but the ML model still probably needs to be fast. Ridge regression here.

Fitness is the average weekly returns over the validation period. Validation set: tscv = TimeSeriesSplit(n_splits=5, gap=1).

Jim