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The attached chart represents the output of a "weekly" neural network I
completed last night for the S&P 500 Index. I have yet to calculate equity
curves, but the output appears to capture market turns quite nicely. Just
visually, it looks as though a workable strategy might be to go long the
Index when the indicator exceeds 0.75 and to exit the long position when it
passes below 0.50 to reduce whipsaw risk. A table is located to the right
of the chart that indicates recent indicator values by week. The most
recent reading of 0.4714 is far off the mark generated for the prior week
of 0.8497. It appears that when the indicator is wrong in predicting a
market turn, it quickly readjusts itself in one to two weeks. The chart is
not presented as a recommendation to trade the Index, merely an observation
as to what market inefficiencies might be underlying the market. - Brian
Attachment Converted: "c:\eudora\attach\SPIndex1.gif"
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