The objective of this chapter is to analyze the problem surrounding the task of prognosis with neural networks and the factors that affect the construction of the model, and that often lead to inconsistent results, emphasizing the problems of selecting the training algorithm, the number of neurons in the hidden layer, and input variables. The methodology is to analyze the forecast of time series, due to the growing need for tools that facilitate decision-making, especially in series that, given their characteristics of noise and variability, infer nonlinear dynamics. Neural networks have emerged as an attractive approach to the representation of such behaviors due to their adaptability, generalization, and learning capabilities. Practical evidence shows that the Delta Delta and RProp training methods exhibit different behaviors than expected.