Trading Systems

Trading Systems

andreyma Books Reviews

Review Trading Systems: A New Approach to System Development and Portfolio Optimization



Winning trades is one hundred percent hard work and an effective trading strategy combined and zero percent luck. Developing an effective trading strategy through trading with hard work and determination is now within your reach.

Trading Systems: A New Approach to System Development and Portfolio Optimisation is a reading material that best explains how traders can establish and develop new and effective winning trading systems. It gives traders insightful pieces of information that traders should know and be armed with to be able to achieve their trading goal and financial success.

About the Authors

Emilio Tomasini is a trader, professor, speaker, and writer. As a proprietary trader, he serves a number of banks and hedge funds in Europe. He is teaching corporate finance at the University of Bologna in Italy. He speaks in different conferences and trading events in Europe. He is a regular contributor to Traders’ and Active Trade magazine. He manages a business serving as an advisory firm to institutional investors.

Urban Jaekle has been trading stocks for over 25 years and futures for over 20 years. He has worked on the floor of the Chicago Mercantile Exchange (CME) and has managed money for institutional investors with algorithmic trading systems.

Table of Contents

The book contains the following topics:

Part I: A Practical Guide to Trading System Development and Evaluation

Chapter 1: What is a trading system?

An easy example of a trading system

Why you need a trading system

The science of trading systems

Chapter 2: Design, test, optimization and evaluation of a trading system



The forecasting power of a trading system

Evaluation of a trading system


Part II: Trading System Development and Evaluation of a Real Case

Chapter 3: How to develop a trading system step-by-step using the example of the British pound/US dollar pair


The birth of a trading system

First evaluation of the trading system

Variation of the input parameters: optimization and stability diagrams

Inserting an intraday time filter

Determination of appropriate exits – risk management

Summary: Step-by-step development of a trading system

Chapter 4: Two methods for evaluating the system’s predictive power

Timescale analysis

Monte Carlo analysis

Chapter 5: The factors around your system

The market’s long/short bias

Out-of-sample deterioration

The market data bias

Optimization and over-fitting

Rule complexity explained with polynomial curve fitting

Chapter 6: Periodic re-optimisation and walk forward analysis

Short repetition

Anchored vs. rolling walk forward system

Chapter 7: Position sizing example, using the LUXOR system


Application of different MM schemes

Monte Carlo analysis of the position sized system

Part III: Systematic Portfolio Trading

Chapter 8: Dynamic portfolio construction

Appendices: Systems and ideas