Modify Field Dialog: Prediction Inputs

Predict a Value Wizard: Select Inputs

Modify Field Dialog: Prediction Inputs

Ä Note: The title of this page may be displayed as just Inputs to allow for more tabs to be displayed on this dialog.

This dialog appears in several forms. 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 Modify Field Dialog allows you to modify the properties of a previously created field. This page allows you to select which fields to use as inputs to the prediction.

In general, you should list any available data that you believe affects the value of the desired outputs. However, irrelevant inputs or too many inputs may make it harder to train the prediction. In addition, more data samples may be required to train the prediction effectively when a large number of inputs are used.

Ä Note: Fields that are currently being used by the Solution Service cannot be modified.

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

Adding New Inputs to a Prediction

To add a new input to the prediction, use the following settings, then press the Add Selected Input button. This will cause the new input to appear in the current input list and allow you enter additional inputs. You can also add a field to the input list by double-clicking a field name in the selection tree.

¨ Available inputs:

Inputs for a prediction can be selected from the following lists:

p Select from fields in this data series

This option will cause the selection tree to contain all of the fields available in the selected data series. The selection tree can then be used to select a field to use for the input values.

p Select from fields in another data series

This option will cause the selection tree to contain all of the fields available from all of the data series in the portfolio. This is useful for combining information in a data series with information from outside the data series. When this option is chosen, the selection tree can then be used to select a field to use for the input values.

p Select from optimizable functions

This option will cause the selection tree to contain all of the functions currently defined for use in the portfolio. Functions which are added as inputs are included as potential inputs when the prediction in optimized. Any constant values for these functions are also optimized.

Ä Note: While functions are being displayed, you can get more information about a particular function by selecting it and pressing the Function Information… button.

& For help using the selection tree, see the help for Selection Trees.

If you would like to create a new field to use as an input to this prediction, press the Create a New Field button.

Ä Note: Default preprocessing will be used for each input when it is added. To modify the preprocessing or lag an input, select the input after it has been added and press Modify Input….

Selected Function Not Valid

If you select a function which cannot currently be used, you will receive a message which indicates Selected Function Not Valid. This message will indicate one of the following problems was encountered. If you continue with this selection, this field will not have a value until the problem is corrected.

· The function contains an error.

This function definition has a problem which is causing it to not resolve properly. Please check the function definition.

· The external DLL definition contains an error.

This function uses a DLL created with the TradingSolutions External Indicator SDK. The information stored in the function definition which is used to access the external indicator is incorrect.

· The external DLL was not found.

This function uses a DLL created with the TradingSolutions External Indicator SDK. The DLL associated with this function cannot be found in the expected location.

· The external DLL initialization was not successful.

This function uses a DLL created with the TradingSolutions External Indicator SDK. When you selected it, the function was tested to make sure it is available. If this message appears, the initialization was not successful. This is typically due to the function requiring an external product to be installed or due to the function requiring a licensing step to be completed before being used.

Modifying Inputs to a Prediction

The inputs currently that are currently selected for this prediction are displayed in the Currently selected inputs list. The individual inputs may be listed with a checkbox control, allowing it to be included or excluded from training.

þ Input Checked

This input will be used for training and producing new values.

p Input Not Checked

This input will not used as part for training or producing values. In most cases, it can be removed without requiring the network to be retrained. It will be tried as a potential input value when the prediction is optimized.

Ä Note: Predictions created in previous versions of TradingSolutions included disabled inputs to determine which inputs values were available for each given date. Support for this behavior is controlled from the Modify Training Settings Dialog. If disabled inputs are included, removing disabled inputs may affect your results.

· No Checkbox Available

This input is an optimizable function. It is only used when the prediction is being optimized. If it is selected as part of the best solution during optimization, a new field will be created based on the optimized parameters and added to the input list.

Fields that are added as inputs to a prediction are typically checked, indicating they will be used for training and producing values. Optimizing the prediction inputs can cause some inputs to be checked or unchecked.

After an input has been added, you can modify its behavior by selecting it and pressing the Modify Input… button. For fields, this will display the Modify Prediction Input Dialog, which enables you to change the preprocessing for the input or manually lag it. You can also indicate whether to try enabling and disabling it during optimization. For optimizable functions, this will display the Modify Field Dialog: Function Inputs page, which enables you to change the inputs to the optimizable function, including the fields and the ranges for the constant values being tried.

Ä Note: Multiple inputs can be modified at one time by holding down the Ctrl key and selecting multiple inputs prior to selecting the Modify Input… button. This will display the Modify Prediction Input Dialog.

The following additional information may be displayed with the input names.

· Keep:

This input will not be included in the optimization of the inputs. This value can be modified from the Modify Prediction Input Dialog setting Allow optimization to include/exclude this input.

Ä Note: This label will only be displayed if input optimization is currently enabled.

Removing Inputs from a Prediction

To remove an input from the prediction, select the input field in the current input list, then press the Remove From Inputs button. If you are only temporarily removing an input, you may want to disable the input until you are certain that you no longer need it.

Effects of Prediction Input Order

The order in which prediction inputs are added can affect the training of a prediction. This is not to say that one order is "better" than another, just that different input orders can produce different results. This is because the training will start with different initial conditions.

At the beginning of the first training pass, TradingSolutions sets the initial weights in the neural network randomly based on a random number seed. Subsequent training passes are based on the same random number seed at later points in the random number cycle. As long as the same random number seed is used, the same sequence of initial conditions will be used for each set of training passes.

Ä Note: The random number seed can be adjusted from the Advanced Topology Settings Dialog.

When the order of the inputs is changed, this causes the initial weights for each individual input to be different. This technically has the same effect as changing the random number seed since a different set of initial conditions is produced for each training pass.

Overall, changing the order of the inputs will typically not produce a large change in the normalized error or correlation after training, particularly if multiple training passes are used. However, slight variations in the predicted outputs can cause fairly large variations in the profitability of a signal. This is because even one modified trade can drastically affect the overall profitability.

Typically, it is not worth creating multiple predictions with the same inputs in different orders. A more effective way of trying different initial conditions is to create multiple copies of the prediction and change the random number seed of each to be different. Alternatively, you can try more initial conditions for each model you create by increasing the Number of Training Passes setting on the Modify Training Settings Dialog.

In general, trying additional initial conditions is not a good approach to modeling. A better approach is typically to try finding more informative inputs.

What Do I Do Next?

If you are creating a new field, press the Next button to continue on to the Select Options page. If you would like to exit the wizard without creating a new field, press the Cancel button. If you would like to change the desired outputs for this prediction, press the Back button to return to the Select Desired Outputs page.

If you are finished updating the properties of a previously created field, press the OK button to save your changes or select another property page. If you would like to exit from this dialog without performing any changes, press the Cancel button.

Additional Property Pages

The Modify Field Dialog has many different property pages that will be displayed as is appropriate for the type of field being modified. For information on the other property pages available, see the help for the Modify Field Dialog.

How Did I Get Here?

The Select Inputs page appears after the Select Desired Outputs page in the Predict a Value Wizard.

The Modify Field Dialog appears when you select to modify or analyze the selected field from the Modify Data Series Dialog or the Modify Portfolio/Group Dialog. It is also displayed when you select Modify Field… from the context menu for a field in a chart or spreadsheet.