Abstract
We propose a neural network based up-trend detector. An auto-associative neural network was trained with “up-trend” data obtained from the KOSPI 200 future price. It was then used to predict an up-trend. Simple investment strategies based on the detector achieved a two year return of 19.8 % with no leverage.
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© 2002 Springer-Verlag Berlin Heidelberg
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Baek, J., Cho, S. (2002). An Up-Trend Detection Using an Auto-Associative Neural Network: KOSPI200 Futures. In: Yin, H., Allinson, N., Freeman, R., Keane, J., Hubbard, S. (eds) Intelligent Data Engineering and Automated Learning — IDEAL 2002. IDEAL 2002. Lecture Notes in Computer Science, vol 2412. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-45675-9_53
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DOI: https://doi.org/10.1007/3-540-45675-9_53
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