Signal Optimization Settings Dialog

The Signal Optimization Settings Dialog allows you to set the values associated with optimizing an entry/exit system or committee field. It is also used for modifying the default settings for these values.

Ä    Note: Settings associated with optimizing predicted signals are modified from the Training Optimization Settings Dialog.

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

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

Modifying the Settings for Signal Optimization

The following settings are available for optimizing non-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 range to use for optimization and validation.

This setting displays the current data range being used for this optimization. It can be used to select from typical settings for the optimization range. Pressing the Adjust Range… button will display the Modify Optimization Range Dialog, which allows greater control over the date range.

Ä    Note: This setting is only available for individual fields.

Ä    Note: For fields being defined for an entire group or fields that use external data as inputs, the data range is limited to the common date range for all of the data being used. For example, if the group for which you are defining a field has a data series with only one year of data, the field will only be able to use one year of data, even if the other data series in the group all have more data.

You can increase a limited data range by either importing more data into the shorter data series, or removing the data series from the field. You can quickly determine the first date available in your data series by adding the first date as a display field in the Portfolio View.

&  For help with display fields, see Using Display Fields.

¨    Optimization ranges to use for fitness evaluation.

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.

þ    Input Values / Committee Votes

This setting indicates that the committee votes or selected input values should be optimized.

þ    Trading Style Settings

This setting indicates that the selected trading style values should be optimized.

Ä    Note: This setting is only available if the trading style is being overridden for this field. For more information, see the help for the Modify Field Dialog: Trading Style page.

p    Default Date Ranges…

This button will display the Modify Default Range Dialog, which allows you to set the default date range for individual periodicities.

Ä    Note: This button is only available when setting the defaults for the portfolio.

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.

There are no definitive rules for how much data should be used for optimization. Including more data is useful for improving results since it provides additional examples. However, older financial data may have been produced under different market conditions than more recent data, causing the training to focus on outdated or overly generalized principles.

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 Signal Optimization Settings Dialog is displayed for a single field when you press the Optimization Options… button on the Apply an Entry/Exit System Wizard: Select Inputs page, the Create a Committee Wizard: Select Fields page, the Modify Field Dialog: Entry/Exit System Inputs page or the Modify Field Dialog: Committee Fields page.

The Signal Optimization Settings Dialog is displayed for modifying default values when you press the Entry/Exit System and Committee Optimization… button on the Modify Options Dialog: Field Creation page.