Dynamic Selection Index (Time-Adaptive)
Dynamic Selection Index (DSI) adapts factor importance over time, ensuring relevance across evolving market regimes.
DSIs(t) = Σ wi(t) · zs,i(t)
wi(t+1) = wi(t) · e−λ ΔRi(t)
| Factor | zi(t) | wi(t) | ΔRi(t) | wi(t+1) |
|---|
Interpretation:
Factors decay or strengthen automatically based on relevance, mimicking evolutionary market selection.
Factors decay or strengthen automatically based on relevance, mimicking evolutionary market selection.
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