Trend detection using auto-associative neural networks: Intraday KOSPI 200 futures

This paper reports the results of a new neural network based trend detector. An auto-associative neural network was trained with the "trend" data obtained from the intra-day KOSPI 200 future price. It was then used to predict a trend. Simple investment strategies based on the detector achieved a one-year return of 31.2 points with no leverage.