Just a short update. Over the last few months I have been investigating the idea of optimising an indicator by applying the apparatus of neural net training to the calculation of weights for the indicator values rather than simply varying a look back period length. It has been an interesting investigation from which I have gained some insight and also had occasion to program some useful back testing infrastructure, but ultimately I have come to the conclusion that the light isn't worth the candle and I have now ceased this work, with nothing of real value to report.
I now intend to move on to other more promising projects, which I think will be a better use of my time. More in due course.
