heuristic algorithms

In this paper a stock trading system based on the combination of six technical indicators is designed. The indicators are combined using an artificial neural network and their parameters are optimized using convex combination-based optics-inspired optimization (COIO) algorithm. In the proposed model the technical indicators’ optimized parameters are obtained using both COIO and genetic algorithms with the aim of maximization of modified Sharpe ratio. The presented paper uses stock intra-day prices as input data and considers the transaction costs. The designed strategy is compared against several other approaches including: using the indicators’ default parameters, buy and hold strategy and optimization using genetic algorithm, for both daily and intra-day prices and due to a greater modified Sharpe ratio for the proposed model, its superiority is shown in all cases. Moreover, in a comparison based on end- of- period returns, it is shown that without considering the transaction costs the results of the intra-day data beats the results of the daily data while no superiority is observed when considering the transaction costs. So reducing the transaction costs is recommended to motivate traders to trade on an intra-day basis.

One of the solutions for solving cutting stock problem in different industries, such as sheet metal, lumber, glass, paper and textile, is applying, Particle Swarm Optimization to minimize the waste of rawmaterials. This article is intended to solve two-dimensional cutting problem. In these problems, larger rectangular plates, divided into smaller rectangularsegments, aim to minimizing the number of used plates or the waste of plates by considering demand. In this article PSO is used. To enhance the efficiency of lgorithm, and preventing overlap in cutting problem, the CUL algorithm is used. In order to investigate the results of algorithm, new software has been designed. This software has two ways for solving the problem. First, it ends up with optimized cutting pattern considering the number and dimension of segments and, length and width of main plate. Also, there is a possibility to give different width to software, in this case, the software gives the user the optimum cutting pattern and optimum length of main plate in addition to optimum width.