RankNet with LightGBM

General
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P123 is all about rank and for good reason. Even when we use ML we sort the predictions to create ranks. We can do that directly, perhaps. Bypassing MSE and a bunch of metrics we don't really care about.

Has anyone looked into RankNet using LightGBM?

Edit: Thank you for the suggestion ZGWZ. I will definitely look at that.

from lightgbm import LGBMRanker
ranker = LGBMRanker(objective="lambdarank")

I think I will look at this. Claude 3: "generally, it's considered relatively efficient compared to many other machine learning algorithms, especially for ranking tasks. "

Edit: Thank you ZGWZ. I will definitely look into that.

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Update. With ChatGPT and Claude 3 I was able to try the LightGBM RankNet version with a walk-forward backtest.

Short story: not an improvement. But amazing how quick the turnaround on an idea can be now with LLMs helping with the coding.

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