You are in for a LOT of work. At one stage I spent quite a lot of time fiddling around with TradingSolutions. It's hard to build decent ANN models. What TS does by default is construct an "optimal analog trading signal" using future knowledge according to certain parameters (eg profit 5% per trade) and trains the NN to predict this signal. It also runs the predicted signal thru a genetic optimizer to adjust he zero offset. Even with all the bells and whistles of a reasonable software package such as TS it's still hard to make any real progress.

Even if you get a reasonable correlation between the optimal signal and predicted signal, the thing still does not necessarily trade profitably. In other words even with well chosen inputs, a suitable network and demonstrably some predictive ability you can still lose money. It really is difficult stuff.

Good luck with training over 40 years of S&P data, I found that over those sorts of periods the training just doesn't converge. You can have too much training data as well as too little. Probably because of the changing nature of the market.

One other possible application for ANN is not prediction, but classification and pattern recognition. One thing I have been thinking about is pattern recognition in order book behavior in futures markets. It's hard stuff, but probably no more difficult than time series forecasting.

Anyway, good luck. Will be very interested to hear if you have any success.