Intraday trading rules based on Self Organizing Maps

Abstract

Working with five minutes data, we have studied a number of trading rules based on the responses of Kohonen's Self Organizing Maps, evaluating the results with both financial and statistical indicators, as well as by comparison with classical buy and hold strategy. At the current stage our major findings may be summarized as follows: a) Kohonen's maps are helpful to localize profitable intraday patterns, and b) they generally make possible to achieve higher performances than common buy and hold strategy.