User Charley Lanusse has kindly donated his Switch indicator with source code as an alternative to Rule Selection and Input Selection: Here is how he
describes the idea behind Switch:
It seems that building a good neural model often depends on finding the right input series for your indicators. Testing multiple series independently can take a long time. Why not have Neuroshell Trader’s Genetic Algorithms search for the best series for you? That’s the idea behind switch. The switch6 indicator takes as its input 6 separate price series and a ‘select’ parameter. Switch6 simply selects one of its input price series to its output.
Example: Let’s say you’re trying to predict the S & P 500. You have a theory that the RSI of some intermarket data (price of oil, bond prices, interest rates, etc) might be useful in the model but you’re not sure which. Insert an RSI indicator as an input to your prediction. Change the ‘closing price’ input to switch6. For each series input select intermarket data that you already have loaded in your chart. You might pick the close of other indexes, market stats or price ratios. Make sure you set the switch6 ‘select’ search space to 1 through 6 (or the number of series that you want to search). When the wizard runs, it will find the optimal series to feed RSI in your prediction.
I find switch more useful when I’m CERTAIN that I want to include a particular indicator but I’m not sure which data series I’d like to use. If I use the Input Selection feature I run into a few challenges:
1. Using Input Selection, the input might not be used in the model if GA turns it off all together. Using the switch indicator and turning off input selection, I can guarantee the ‘structure’ of indicators while still searching for the best series.
2. Yes, I can just put 6 RSIs into a prediction model and limit the # of inputs to 1, but it takes much longer to optimize.
You can download the Switch Indicator using this link:
To use the Switch indicator, place the .tpl and .dll files in your NeuroShell Template folder. The .cpp file is source code in case you want to modify it.