An Up-Trend Detection Using an Auto-Associative Neural Network: KOSPI 200 Futures

  • Authors:

  • Jinwoo Baek;Sungzoon Cho

  • Affiliations:

  • -;-

  • Venue:
  • IDEAL '02 Proceedings of the Third International Conference on Intelligent Data Engineering and Automated Learning
  • Year:
  • 2002

Quantified Score

Hi-index 0.00

Visualization

Abstract

We propose a neural network based up-trend detector. An autoassociative 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.