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I t would be nice to develop trading systems without giving a thought to optimization. Realistically, however, the development of a profitable trading strategy is a trial-and-error activity in which some form of optimization always plays a role. There is always an optimizer around somewhere-if not visible on the table, then lurking in the shadows. An @mizer is simply an entity or algorithm that attempts to find the best possible solution to a problem; optimization is the search process by which that solution is discovered. An optimizer may be a self-contained software component, perhaps implemented as a C++ class, Delphi object, or ActiveX control. Powerful, sophisticated optimizers often take the form of software components designed to be integrated into user-written programs. Less sophisticated optimizers, such as those found in high-end simulation and charting packages, are usually simple algorithms implemented with a few lines of programming code. Since any entity or algorithm that performs optimization is an optimizer, optimizers need not be associated with computers or machines at all; an optimizer may be a person engaged in problem-solving activities. The human brain is one of the most powerful heuristic optimizers on earth!

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Increased sales Annual warehouse bene ts Annual warehouse costs Loss from warehouse $7,800,000 Pro t rate 30% Increased pro ts $2,340,000 ($3,500,000) ($1,160,000)

WHAT OPTIMIZERS DO Optimizers exist to find the best possible solution to a problem. What is meant by the best possible solution to a problem Before attempting to define that phrase, let us first consider what constitutes a solution. In trading, a solution is a particular set of trading rules and perhaps system parameters,

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R2 is the same value as X. Thus, the outcome of a sequence of two XORs using the same value produces the original value. To see this feature of the XOR in ...

All trading systems have at least two mles (an entry rule and an exit rule), and most have one or more parameters Rules express the logic of the trading system, and generally appear as if-then clauses in whatever language the trading system has been written Parameters determine the behavior of the logic expressed in the rules; they can include lengths of moving averages, connection weights in neural networks, thresholds used in comparisons, values that determine placements for stops and profit targets, and other similar items The simple moving-average crossover system, used in the previous chapter to illustrate various trading simulators, had two rules: one for the buy order and one for the sell order It also had a single parameter, the length of the moving average Rules and parameters completely define a trading system and determine its performance.

80% increased sales Data mart bene ts Data mart costs Gain from data mart $6,240,000 Pro t rate 30% Increased pro ts $1,872,000 $ 800,000 $1,072,000

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Although DHA (docosahexaenoic acid), an essential omega-3 fatty acid derivative, plays a vital role in the development and maintenance of effective brain function throughout life, the body s ability to make DHA from alpha linolenic acid appears to decrease with age. DHA is the building block of human brain tissue and the primary structural fatty acid in the gray matter of the brain and the retina. Studies have shown that DHA deficiency and the incidence of Alzheimer s disease are closely related. This is also the case in depression, memory problems, and attention deficit disorder (ADD). DHA and the essential fats are also very important in preventing inflammatory reactions in the brain. Lecithin contains phosphatidylcholine, phosphatidylethanolanine, and phosphatidylinositol, all of which are important phospholipids for brain function because of their critical role in cell membrane activity. These phospholipids plus phosphatidylserine have been found to correct cognitive impairment related to neurological degeneration; they also work to prevent viral damage to brain cells. Ginkgo biloba extract has been used for several thousand years in China to enhance brain function and prevent neurological degeneration. In Chinese medicine, ginkgo biloba is used to help increase memory and age-related decline in mental performance. In many well-controlled human studies, a standardized gingko biloba extract was found effective in the treatment against Alzheimer s disease, especially in tests related to decreasing the disease s progression. Ginkgo biloba extract helps to improve cerebral circulation and prevents blood clots and radiation- and toxin-induced free radical damage. The active ingredients in ginkgo biloba are antioxidants called ginkgosides and terpenoids.

To obtain the best performance from a trading system, parameters may need to be adjusted and rules juggled There is no doubt that some rule and parameter combinations define systems that trade well, just as others specify systems that trade poorly; ie, solutions differ in their quality The goodness of a solution or trading model, in terms of how well it performs when measured against some standard, is often calledjfitness The converse of fitness, the inadequacy of a solution, is frequently referred to as coot In practice, fitness is evaluated by a@ness function, a block of programming code that calculates a single number that reflects the relative desirability of any solution A fitness function can be written to appraise fitness howsoever the trader desires For example, fitness might be interpreted as net profit penalized for excessive drawdown.

Step Build warehouse Amortize over 3 years Annual maintenance Customer communications Total Cost $6,000,000 $2,000,000 $ 500,000 $1,000,000 $3,500,000

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