Balazs, I don't mind at all. That is why I'm here to share ideas and learn from others as well. I would love to see the trading community get behind this great product. I feel like I've discovered a real undiscovered resources in this software.

I've tried GXPT Logistic Regression (not classification) function , asking it to forecast the next day DIRECTION close (1 UP, 0 DOWN) - I had only limited success with that, but I haven't given up on that approach. I think the key is preprocessing the data first AND picking the most significant indicators which is not universal I've found for all instruments. I've been using a few different apps to test the correlation significance between my output variable and my inputs for each instrument I model. My primary focus is Forex and as I mentioned before, I'm mostly focusing on using the  GXPT Time Series functions now , which I had almost totally given up on until I started smoothing the data first.

Right now , I'm merely using a 10 day EMA. I just purchased the Jurik Moving indicator today, but haven't had time yet to experiment with it. It's a pretty well know 3rd party indicator that generates ALMOST zero lag in the MA. It's won a lot of awards. I'm using MT4 for my trading,  - my next big push is to translate GXPT model code to MT4. I'm still experimenting with various time frames but I'm really liking the 2 and 4 HR time frame for my models.Too much wiggle room for my taste in a full day  EOD model. I'd rather go for smaller profit targets and keep tight stops. I'm refreshing my models almost daily even though I am getting 10 period predictions from GXPT, I think the most recent data is the most significant and I want those values reflected in my models.

Because I'm rebuilding my models almost daily, I'd like to invest in the GXPT Server engine down the road to help automate that daily process - which would allow me to rebuild automatically hundreds/thousands of models each day for multiple market instruments.  Markets are too volatile to forecast more than 2-3 days, even with the best software IMO.  I'm also planning on porting Python coded models over to the  Quantopian platform, I also use Ninjatrader.

Hello Devon,

thank you very much for your fast reply! It seems to me, that you are a more seasoned practioner than I am. Anyway, I also find the program useful.

I also plan to become a succesful trader, and the idea of supporting the development of a tool is not far away from me either.

@Mr. Simas: could you please send me information over this Server application? Many thanks in advance!

As I have written already, I am more of a novice trader. I was trying to develop simple trading models according to the following train of thought for Forex pairs. I have experimented mainly on daily data and concentrated mostly on AUD/USD. It was just a random choice.

As I said, I wrote in MT5 a very simple, very easy script, which exports price data for the current symbol and timeframe and also fills out "1"s and "0"s according to a given condition. My given condition is whether the price after the current bar close reaches sooner "a" price level or "b" level. The program can classify correctly on the testing and training dataset around 60% - 65%, if the stop loss and take profit levels are equally far away from each other. I also have tried models, when the take profit level is some multiple the stop loss level, it did not show good results sadly, but I keep trying.

The other very good news are, that I used data for training from 1994 - 1998, for testing 1998 - 2013. The distribution of the winning and losing prediction is also very nicely distributed. 3-4 losing trade in a row maximum and they are rare.

Have you tried to use the output of the time series model as input for the a regression or classification model? It may be worth using the prediction of the smoothed MA time series as input for a similar classification model (which level is reached first?) For defining the levels I use some multiple of the Average True Range for 5 or 10 periods.

I haven`t tried time-series yet, but will take a look at them.

Have you tried MT5? You do not need to translate the code, since MT5 uses 99% C++, you can export it without any problem. I work right now on a script, which will show classification results in the trading terminal. Do you have any experience with MT5? 

Just as a quick follow up and a continuation from some of my previous comments above. 
Now that I'm preprocessing ALL my Time Series function data prior to my GXPT model processing, I wanted to share with you what a great smoothing indicator Jurik Research offers (just received it last night!) - called Jurik Moving Avg (JMA). Reasonably priced and easy to use - available for multiple platforms. 
I've included a screenshot of the AUDUSD Closing prices with a Exponential Moving Avg (10) along side a JMA (10) . Notice how nicely the JMA "hugs the road" so much better than a standard moving avg. I think it's a great addition to GeneXProTools .
Now,  I'm saving my profits for a copy of the GeneXproTools server so I can fully automate my model processing...

Hello all,

@Devon:

I had the following in mind: Create a time series model, export it to Excel and use this model to create predictions for the moving average in Excel. Let`s say, if you used 10, as embedding dimension in the model, you can create a predication for every bar, using the previous 10 bars data. After you created these prediction, you can import the updated Excel back to GeneXPro and use the predictions as input parameters. I, myself will try this, I just did not have sadly the last few days too much time to experiment. I will share the results, as soon as I will be able to develop any.

@Mr. Simas: Many thanks for the elaborate description. I think I get the picture. If I understood you correctly, it is somehting like a very powerful computer, which you have at your company and to which one could have access. This processor calculates than many moduls after each other or simultaniously with different data or different settings.

It is without question a very interesting thing and could be very useful. the problem is for me, that unlike Devon, I am not yet a profitable trader. I was not able to develop and automate profitable trading strategies yet. I can see the light at the end of the tunnel, and really hope that with your programm I can make the first step. I hope you understand, that without more or less constant income from trading it is not yet feasable to invest that kind of money. I hope we can get back to this question soon enough and I can be a new customer for the Server as well.