"Left Shoulder" Detection in Korea Composite Stock Price Index Using an Auto-Associative Neural Network

Authors:
Jinwoo Baek;Sungzoon Cho
Affiliations:
-;-
Venue:
IDEAL '00 Proceedings of the Second International Conference on Intelligent Data Engineering and Automated Learning, Data Mining, Financial Engineering, and Intelligent Agents
Year:
2000

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Abstract

We propose a neural network based "left shoulder" detector. The auto-associative neural network was trained with the "left shoulder" patterns obtained from the Korea Composite Stock Price Index, and then tested out-of-sample with a reasonably good result. A hypothetical investment strategy based on the detector achieved a return of 124% in comparison with 39% return from a buy and hold strategy.