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 Prediction with Pre-lagged Inputs
i Tutorial Task
Use correlation results to create a prediction with pre-lagged inputs.
Now, let’s create a different type of prediction using correlation fields with a lead of more than 1.
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Step-by-step Instructions
1. On the Modify Field Dialog: Correlation Analysis page, using the Ctrl key, add the “%Change in MBNA Cp:Close” with a Lag of 4 to the already selected inputs.
Ä Note: If you have exited the dialogs from the previous task, you can return to the Correlation Analysis page by selecting Analyze Correlations… from the context menu for BellSouth, then selecting the Close field.
Ä Note: If you have lost your previous selections, you will want to hold down the Ctrl key and reselect “%Change in Bellsouth Cp:Close” “%Change in DJ Industrial Avg:Close”, and “%Change in S&P 500 Index:Close” with a lag of 0.
2. Press the Create a New Prediction from the Selected Fields… button.
3. On the Predict a Value Wizard, proceed through the panels to the Select Inputs page. Notice that “%Change in MBNA Cp: Close” has an “(n-4)” next to it. Press Next.
Figure 1. The inputs to the prediction with a lagged input.
4. On the Select Options page, notice that the default model is for “Pre-lagged Inputs”. 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 (typically #2) 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.
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.
10. On the Modify Field Dialog: Correlation Analysis page, press the OK button.
_ Continue to the next task.