Predict a Value Wizard: Select Desired Outputs

The Predict a Value Wizard allows you to create a new prediction field in a data series or in all data series in a portfolio or group. The Select Desired Outputs page allows you to select which fields to use as the desired outputs of the prediction. In effect, these are the values you are trying to predict.

&  For help with predictions, see Predicting and Modeling Financial Data.

Selecting a Value to Predict

To specify the value to predict, use the following options.

¨    Value to Predict

This value specifies the name of the data series field to predict. If you would like to predict a value that you have not created a field for yet, press the Create Field… button to create that field before continuing.

Ä    Note: Only fields from the current data series or group are available for the desired outputs. If you would like to predict the value of a field in another data series, create a calculated field that is equal to the value of the field you want to predict, then use that calculated field for the desired output.

Ä    Note: This value will default to an optimal signal field if one is available.

¨    Samples in Advance

This value specifies the number of values to look ahead in the desired output field.

:    Example: If you are trying to predict a value two trading days in advance from a data series with daily data, this value should be set to 2.

Ä    Note: If this value is zero, the prediction will be for the current value. This can be useful when predicting values like the optimal signal, which suggest actions based on future values.

¨    Preprocessing

This value specifies the type of preprocessing that should be used on the desired output. Preprocessing is typically used to give the desired output a more uniform range, often it making it more predictable. TradingSolutions automatically postprocesses the predicted values when preprocessing is used.

:    Example: When Percent Change preprocessing is used, the percent change in value is the value that is sent to the neural network. Any values that are received from the neural network are treated as a percent change in value and converted automatically to what the value would be if that percent change occurred.

Ä    Note: This value is only available when the prediction is for at least one sample in advance.

·      Percent Change

This option is typically used when you are trying to predict a continuous, positive, non-zero value that does not have a constant range, such as price information.

·      Change

This option is typically used when you are trying to predict a continuous value that may not have a constant range, such as some momentum indices.

·      None

This option is typically used when you are trying to predict discrete values that have a constant range, such as entry/exit signals.

Ä    Note: Preprocessing on outputs is automatically reversed when values are produced by the neural network. For example, prices predicted using percent change preprocessing will result in prices which are determined by a predicted percent change from the appropriate previous value.

p    Signal Postprocessing Settings…

This button will display the Signal Postprocessing Settings Dialog, which allows you to modify how predicted signals are processed.

þ    Output Data is Pre-Differenced

This setting indicates that the values of the desired output data represent change or percent change data. It affects how Optimize for Directional Accuracy operates in that the criterion component will need to calculate the change from the previous value is the data is not pre-differenced. It also affects how the Directional Accuracy analysis is calculated on the Directional Accuracy Sub-page.

Ä    Note: This setting is repeated on the Advanced Topology Settings Dialog: Criterion page.

þ    Predict multiple values with this prediction.

This setting enables you to specify multiple outputs for a single prediction. For more information, see Specifying Multiple Outputs for a Prediction, below.

Specifying Multiple Outputs for a Prediction

Most predictions will have only one desired output and, therefore, only output one field. To predict multiple values at one time, select Predict multiple values with this prediction.

This option displays the list of outputs for this prediction. When this option is first selected, only the current desired output will be listed. To add an additional output, press the Add New button and specify the information for the selected output. To remove extra outputs from a prediction, press the Remove button to remove the selected output.

There are two ways to approach predicting multiple values in one data series:

·      Create individual predictions for each value being predicted.

This option will typically produce more specialized models of the values being predicted. This is typically preferable, especially with values that are hard to model. However, highly specialized models may have trouble generalizing results for new values. By default, a cross validation set is used to help prevent models from specializing on the training set.

·      Predict multiple values with one prediction.

This option will typically produce less specialized models of the values being predicted. This is useful for reducing the amount of specialization on the training data, which in turn may allow the models to generalize better on new values.

Ä    Note: Additional outputs can be added to a prediction at any time. However, once a prediction is created, individual outputs cannot be removed.

Ä    Note: Postprocessing of predicted signals is performed separately for each output.

What Do I Do Next?

When you have selected the desired outputs of the prediction, press the Next button to continue on to the Select Inputs page. If you would like to exit the Wizard without creating a new field, press the Cancel button. If you would like to create a different type of field, such as a calculation or an entry/exit signal, press the Back button to return to the Create a Field Wizard: Select Type page.

How Did I Get Here?

The Predict a Value Wizard: Select Desired Outputs page appears when you select to create a new field to predict a value from the Create a Field Wizard: Select Type page. It also appears when you select the Add Prediction Field button from the Fields toolbar.