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Trading Systems: A New Approach to System Development and Portfolio Optimisation Paperback – October 1, 2009


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Trading Systems: A New Approach to System Development and Portfolio Optimisation + Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals + Trading Systems and Methods, + Website
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Product Details

  • Paperback: 240 pages
  • Publisher: Harriman House (October 1, 2009)
  • Language: English
  • ISBN-10: 1905641796
  • ISBN-13: 978-1905641796
  • Product Dimensions: 9.5 x 6.6 x 0.5 inches
  • Shipping Weight: 1.5 pounds (View shipping rates and policies)
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (17 customer reviews)
  • Amazon Best Sellers Rank: #176,621 in Books (See Top 100 in Books)

Editorial Reviews

About the Author

Emilio Tomasini is a proprietary trader for many European banks and hedge funds and Adjunct Professor of Corporate Finance at the University of Bologna, Italy. His website is www.EmilioTomasini.com. Urban Jaekle holds a diploma in physics. He is a regular speaker at the main European trading events and contributes to Traders' and Active Tradermagazine. His main business is to provide trading systems' advisory services for hedge funds and institutional investors - mainly with automated trading systems, portfolio optimisation and money management solutions.

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Customer Reviews

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I've been reading a lot of books like this lately.
That Lark
Beginner trader who do only manual trades should buy this book to see who you are up against and then level the playing field before you become the 90%.
James Lee
This is a book on how to develop trading systems in a robust and systematic manner.
Serac

Most Helpful Customer Reviews

51 of 51 people found the following review helpful By Serac on September 12, 2011
Format: Paperback
If you are reading this review, you likely have read many other trading books about trading systems. By now, you likely know that most of these books present skeletal descriptions of buy and sell rules, lots of backtesting results, figures of cumulative profit over time, and a chapter or two on money management. Some of these books are great. Some are not. This is a great book, but this book does not belong to this category of trading books.

This is not a book showing exciting buy and sell rules, a book about trading psychology or money management. This is a book on how to develop trading systems in a robust and systematic manner. This is a book on how to use optimization as a useful tool, and not merely as a means for curve-fitting. This book describes the nitty-gritty stuff most authors gloss over (stop loss sizing, trailing stops, profit target selection, etc). This book is a highly practical approach to engineering employed in trading system development.

Readers with a background in physics or engineering will feel at home. The authors start with a very simple moving average crossover system, and then slowly add complexity. At each step, the authors perform a sensitivity analysis to both a) verify that the added complexity is worthwhile, b) choose optimal (higher return) parameters, and c) most importantly, choose parameters that are robust to the ever-changing complexities of the markets. Finally, using the completed system, the authors perform a robustness test over many instruments and time frames.

If you are looking for a book to copy a system out of and make millions, this is not for you. If you are at least somewhat experienced, and know that trading system development is more than just buy and sell rules, this book should be very helpful.
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14 of 14 people found the following review helpful By Linus Nilsson on March 14, 2010
Format: Paperback Verified Purchase
A fairly good book, that does a excellent job at explaining the pitfalls of system building. While not agreeing completely with the authors on all points, most of their arguments are in line with best practice when it comes to back testing and system building. On the downside, I probably expected more code than what existed in the book, without it, the examples become something of a 'trust-me' trade.
Overall, a book that serves most system developer as a reminder that there are a number of ways to improve their own back testing protocols. More importantly, it does also make a good job at explaining the various charts and analytics that are available in Rina Systems and Trade Station.
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4 of 4 people found the following review helpful By Hans-Henrik Nielsen on February 6, 2014
Format: Paperback Verified Purchase
I've been Trading for many years and I've learned a lot about Building Trading systems from the many books and video I've bought over the years.

But once in a while a books comes along that sums of the knowledge from the last 20 books with precise example and god illustrations. This is one of these books.

The book starts up with a Trading system designed for FOREX. But don't let that scare you away if you only trade stocks, futures etc.
The systems and the way to build it is the same for every market.
So the authors start out with a very simple simple and they start to evaluate it. For the beginner in this fiels you'll find a goldmine of information on how to evaluate the quality of systems here in the first couple of chapters.

In the NeXT chapters many topics are covered such as:

- Wich variables to optimize
- How to optimize
- Different kinds of exits, trailing stops, pricetargets etc.
- Monto Carlo Analysis
- Re-optimisation
- Walk forward analysis
- Position sizing (very important)
- Building a portfolio

As I mentioned before all topics are explained with clear cut example and illustrations.
The book has gone straight into my Top-10 list of favorite Investment books.

I should mention that if you are completely new to technical analysis and indicators and you don't have any experience with Trading software etc. there might be 1 or 2 books you should read before this one. But I would recommend that this is one of the first 10 book any beginner should read.
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7 of 9 people found the following review helpful By Jeff S. King on May 21, 2010
Format: Paperback Verified Purchase
Wish I had more time to write a more proper review, but I'm pressed for time. So here goes.

Being relatively new to trading system development, I found this book extremely helpful. That said, it _does_ presume the reader to have at least a 300 level of trading systems and trading system development. Snag this book while you can, it's well worth the read. Just don't try to read it during commercial breaks or some nonsense like that. It requires your full undivided attention.
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2 of 2 people found the following review helpful By That Lark on May 18, 2013
Format: Paperback Verified Purchase
I've been reading a lot of books like this lately. I have experience with TradeStation and I am a programmer. This book really shows you how to go about writing and optimizing a trading system. You are hand-held through the evolution of a real working system and shown how to interpret the various tables and plots that TS offers. This book is of actual help, not just full of "do this", "don't do that" kind of advice.
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1 of 1 people found the following review helpful By Roberto Santos on June 22, 2013
Format: Kindle Edition Verified Purchase
I could not put it down, it has a great step by step approach to system writting. It brings new meaning to the the phrase "give a man a fish and you will feed him for a day. Teach a man to fish and you will feed him for a lifetime"
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