Modify Default Range Dialog

The Modify Default Range Dialog allows you to set the default ranges for optimization of signals and training of predictions.

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data may have been produced under different market conditions than more recent data, causing the training to focus on outdated or overly generalized principles.

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

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

How Default Ranges are Used for Predictions

The date range associated with a prediction is used for several different things. Part of the data is used for training the neural network model. Part of the data is used as a validation step to make sure the training is improving the results. And, part of the data is left out of the training process to be used for only for testing.

The same date ranges are used for the optimization of the prediction settings and the postprocessing of predicted signals. By default, the training data is used for determining the fitness of each test. The cross validation data is used for determine which generation has provided the best general results. The testing data is typically not used during optimization.

How Default Ranges are Used for Signal Optimization

The date range associated with the optimization of committees and entry/exit systems is use the same as it is for predictions. By default, the training data is used for determining the fitness of each test. The cross validation data is used for determine which generation has provided the best general results. The testing data is typically not used during optimization.

Setting Default Ranges

Default date ranges can be established for each periodicity. For example, end-of-day data, 5-minute bars, and 15-minute bars can all have different default date ranges. In addition, separate default date ranges can be used for predictions versus other optimized signals.

¨    Periodicity

This setting indicates the periodicity of the data for which you are currently setting the defaults. For intraday data, the Bar Size also needs to be specified.

¨    Default Range

This setting indicates how much data to set aside for the combined training, cross validation, and testing of the optimization or prediction.

Ä    Note: If the default amount of data is not available, the prediction or optimization will use all available data.

p    Training Set

This value indicates the percentage of the default range to use for the actual training or optimization process. For prediction training, this data is used to determine the error for updating the neural network weights. For optimization, this data is used to determine the fitness of the current settings.

Ä    Note: This value equals the data remaining after the cross validation and testing ranges have been removed.

þ    Cross Validation

This setting indicates the percentage of the default range to use for verifying that the new settings are producing better general settings with continued iterations. If the error or fitness for this range stops improving, the training or optimization stops after a given number of attempts and the settings which yielded the best results for the cross validation set are used.

þ    Accuracy Testing

This setting indicates the percentage of the default range to set aside to not be used during training or optimization. This allows you to set aside data which is not used to improve the results so that you can verify the new values will work with new data.

¨    Ordering

This setting indicates the order in which the default range is divided into training, cross validation, and testing sets.

Ä    Note: The testing set is typically kept last so that it is closest to any new data which will occur.

p    Restore Defaults

This button restores the default settings for these values.

What Do I Do Next?

When you are done modifying the training ranges, press the OK button. If you would prefer to exit this dialog without making modifications, press the Cancel button.

How Did I Get Here?

The Modify Default Range Dialog is displayed for signal optimization settings when you press the Default Date Ranges… button on the Signal Optimization Settings Dialog. It is display for prediction training and optimization settings when you press the Training Ranges… button on the Modify Options Dialog: Field Creation page.