I just wanted to share with you the same USDJPY analysis using a Gaussian Regression learner instead of the Multilayer Preceptron learner I used in my first USDJPY Carry Trade Exposed post. You'll see that in this graph, the USDJPY carry trade won't fall off a cliff.
The difference between the two learners, as it was explained to me, is that the Gaussian Regression learner samples training data and tries to fit it into a normal distribution. The Multilayer Preceptron learner analyzes the data using back propagation and seeks to minimize errors between the training and validation data sets; it doesn't care if the data is normally distributed.
If anyone has more experience in modeling with Gaussian Regression, I'd love for you to drop a comment about this topic.