Within a realistic model of the stockmarket, we derive the most successful
trading strategy. We first identify the agent who has realized the largest
percentual gain and then analyze all the operations this trader has perform
ed during the simulation run. We report them in a proper trading space and
we extend the model, introducing an additional operator acting with the hel
p of a look up table derived from a clusterization of space. We discuss the
robustness of this optimal strategy, its performance and the applicability
to real markets. (C) 2001 Elsevier Science B.V. All rights reserved.