From NN's to buy-and-hold. From the relatively complex, to the very simple.
In these last few days I've been imagining a new (?) algorithm for doing simple buy-and-hold trades. The key is in finding the most probable highest and lowest currency prices for a given point in time. It would involve something like taking a list of the last N prices, sorting it, and averaging the top M values to get some "local average maximum" and the last L to get a "local average minimum". Then, placing limit orders with those values. Come to think of it, it sounds a little like RSI's overbought and oversold indicators. But it's not quite it.
Pretty crude. But I'll do it while I work on the NN approach, and see what happens.