Tutorial: Using Correlation Analysis to Identify Inputs
Run Correlation Analysis for a Single Stock
Create a Time Series Prediction
Create a Prediction with Pre-lagged Inputs
Run Correlation Analysis for an Entire Group
Create a Time Series Prediction
i Tutorial Task
Use correlation results to create a prediction with zero lag inputs.
We can now use the Correlation Analysis page to create predictions of the closing price. Let’s start by creating a prediction using the most highly correlated fields.
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Step-by-step Instructions
1. On the Modify Field Dialog: Correlation Analysis page, hold down the Ctrl key and select “%Change in Bellsouth Cp:Close” “%Change in DJ Industrial Avg:Close”, and “%Change in S&P 500 Index:Close” with a lag of 0.
Figure 1. Correlation results with three fields selected.
2. Press the Create a New Prediction from the Selected Fields… button.
Figure 2. Location of “Create a New Prediction…” button.
3. On the Predict a Value Wizard, proceed through the panels to the Select Inputs page. Notice that the selected fields have been added. Press Next.
Figure 3. The inputs to the prediction are automatically selected.
4. On the Select Options page, notice that the default model is for predicting “As a Time Series”. Press Next.
5. On the Create Prediction page, press Finish.
6. TradingSolutions will ask if you would like to view an analysis of this prediction when training has completed. Press Yes.
7. On the Modify Data Series Dialog: Predictions page, numbers will appear next to the new prediction when the analysis is ready. At this time, select the prediction and press Analyze….
Ä Note: On faster computers, the analysis may already be ready when you reach this page.
8. On the Modify Field Dialog: Training Analysis page, review the analysis. In particular, look at the Correlation page and notice that the Correlation of Percent Changes over the Training range is fairly high, but it not as good over other ranges.
9. When you are finished with the analysis, press the OK button on the Modify Field dialog for the prediction and the Close button on the Modify Data Series dialog. This should return you toe the Modify Field dialog for the Close field, looking at the Correlation Analysis page.
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