Postprocessing Optimization Settings Dialog

The Postprocessing Optimization Settings Dialog allows you to set the values associated with optimizing the postprocessing settings of a predicted signal. It is also used for modifying the default settings for these values.

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.

&  For help with optimizing fields, see Optimizing Signals and Predictions.

Modifying the Settings for Prediction Optimization

The following settings are available for optimizing the postprocessing of predicted signals. This optimization is performed by simulating trading of signals processed with potential values until the best solution is found. The following settings are available for modifying that optimization.

¨    Date ranges to use for optimization.

This value indicates the training ranges to use for optimization of the postprocessing settings.

·      Optimize Training Set, Checking Cross Val.

This setting indicates to optimize the fitness of the training set, but to take the settings from the generation with the best fitness for the cross validation set. It also causes the optimization to stop when no improvement occurs on the cross validation set data over a given number of generations.

·      (Optimize Particular Set or Sets)

This setting indicates to optimize the fitness of the indicated set or sets without monitoring the performance of a cross validation set.

Ä    Note: You will typically not want to include the testing set in the optimization data. This would result in there not being data set aside for verifying that good general settings are being found.

þ    Initialize starting values based on all available data.

By default, the values used at the beginning of the postprocessing optimization are set based on the minimum, maximum, and average of the values in the optimization range. Prior to Version 3.1 Build 050815, TradingSolutions used all of the data currently loaded for a symbol to set these values.
Selecting this setting causes TradingSolutions to replicate the previous approach. This will typically change the optimized results only slightly from the default, but can yield significantly different results in rare cases. The previous approach can also cause different results to occur if postprocessing is restarted after additional data is made available.

p    Genetic Algorithm Settings…

This button will display the Modify Genetic Algorithm Settings Dialog, which allows you to adjust the settings associated with genetic optimization.

p    Restore Defaults

This button will restore the settings to their default values.

What Do I Do Next?

When you are finished modifying the settings, press the OK button to save your changes. If you would like to exit from this dialog without saving your changes, press the Cancel button.

How Did I Get Here?

The Postprocessing Optimization Settings Dialog is displayed for a single field when you press the Optimization Options… button on the Signal Postprocessing Settings Dialog.

The Postprocessing Optimization Settings Dialog is displayed for modifying default values when you press the Signal Postprocessing… button on the Modify Options Dialog: Field Creation page.