I have been working for a few years on a similar project using evolutionary algorithms on top of other models (linear / ann). It works quite well (e.g., for equidistant energy demand / supply forecasts) but there's still lots of stuff to do.

It's major benefit is that it figures out relationship to the target time series by itself, so you can just throw in all time series and see what comes out.

Language is Clojure, 20kloc, incanter, encog. If anyone is interested in working for/with it, let me know. I currently develop a Rest Api for it and plan to release it as open source once the major code smells are dealt with.