I have found another algorithm for PNN (see links below). Actually, I think that these one is close to the optimum. Very powerfull and few parameters. I have coded a matlab implementation for those who are interested. The problem is the application to forex, I can't find the right input space and objective function (alltough I think it is a regular zigzag). All input spaces based on MAs don't generalize well.

Denis

http://www.inf.uni-konstanz.de/bioml..._dda_nips7.pdf
http://citeseer.ist.psu.edu/cache/pa...nstructive.pdf