Hi Lukas,
Most of data pre-processing involves translating (convert symbol to number) and normalization. Example if you have two or more categories of your input such True or false, high or low, bullish or bearish, they will be converted into number example 0 and 1, or 0 for cold, 1 for warm and 2 for hot. Normalization is converting your data into a range, example 0 to 1 or -1 to 1, etc.
It will depend on the software that you use, some of them has automatic data pre-processing (such as neuroshell2, neuroshell trader, trading solution, etc), some of them has manual step to make data normalization (neurosolutions for excel).
On certain case, you can do it using excel, as long as you know what is the formula. See attached sample.
Selecting the best input will depend on the type of NN you have, is it prediction or classification? Kohonen SOM doesn't care about the input, but if you use back propagation to predict future values then the best inputs are input which can resulting a good prediction. R square criterion, MSE, correlation, % same sign are commonly used.
Salam buat orang Indonesia...(if you are currious please PM me
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Happy Trading