I am trying to predict sales demand using recurrent neural networks. Here
https://stackoverflow.com/a/2525149/423805
it was mentioned sequences are supported
Try plotting train error on each iteration. If method works then it should go down on each step. Also have you tried adding bias?
buildNetwork(INPUTS, HIDDEN, OUTPUTS, hiddenclass=LSTMLayer, outclass=SigmoidLayer, recurrent=True, bias=True)
Where do you get the error from? Is it the one reported by the trainer? Then it is an error on training set and you suffer from high bias. Things that could help: