I've got the Support Vector Machine (SVM) running on BlogTrader Platform. The results are more stable than MLP and I'm still being familar with the C and sigma parameters of SVR.

SVM is a good tool that based on Kernel and Statistical Learning theory, and it can reach the globle minima, with only few parameters needed to be adjusted which may be easily applied GA.

For those who are interesting in machine learning, there are several good books are recommented:

Statistical Learning Theory [Vladimir N. Vapnik]

An intruduction to Support Vector Machines and Other Kernel-based Learning Methods [Nello Cristianini, John Shawe-Taylor]

Kernel Methods for Pattern Analysis [John Shawe-Taley, Nello Cristianini]

I'm busy on cleanup the Neural Network code after World Cup. Now the performance is acceptable, momentum and rprop learner for MLP were done too. RBF Network almost works.

The Neural Network is not magic, I just use it to do non-linear regression. The results that I got are totally based on my unserstanding to stock market other than neural network.

Anyway, as the primary motivation for BlogTrader? project, the neural network and other machine-learning tools (such as SVM) will be continually under developing. I hope to release next version of BlogTrader? Platform in later September. Maybe a sample neural network indicator will be included in this coming version. If you are interesting in these approachs, you can write your own indicator based on NN.

Again, I try my understanding on stock market for 000001.ss, here's a result just for joy:

The yellow line is output of neural network in training period, the BLUE line is the prediction for un-trained period, the prediction uses none high-low-open-close values of predicion period, it's a mid-term prediction:

Click on the picture to enlarge it