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Trading Systems: A new approach to system development and portfolio optimisation [Kindle Edition]

Emilio Tomasini , Urban Jaekle
4.7 von 5 Sternen  Alle Rezensionen anzeigen (3 Kundenrezensionen)

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"The key is how to adapt existing codes to the current market conditions, how to build a portfolio and how to know when the moment has come to stop one system and start another one."Every day there are traders who make a fortune. It may seem that it seldom happens, but it does - as William Eckhardt, Ed Seykota, Jim Simons, and many others remind us. You can join them by using systems to manage your trading.This book explains exactly how you can build a winning trading system. It is an insight into what a trader should know and do in order to achieve success in the markets, and it will show you why you don't need to be a rocket scientist to build a winning trading system.There are three main parts to Trading Systems. Part One is a short, practical guide to trading systems' development and evaluation. It condenses the authors' years of experience into a number of practical tips. It also forms the theoretical basis for Part Two, in which readers will find a step-by-step development process for building a trading system, covering everything from initial code writing to walk forward analysis and money management. Part Three shows you how to combine a number of trading systems, for all the different markets, into an effective portfolio of systems.A trader can never really say he was successful, but only that he survived to trade another day; the "black swan" is always just around the corner. Trading Systems will help you find your way through the uncharted waters of systematic trading and show you what it takes to be among those that survive. A new approach to system development.

Über den Autor und weitere Mitwirkende

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 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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4.7 von 5 Sternen
4.7 von 5 Sternen
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5.0 von 5 Sternen Best starting point for learning Strategy development 18. Februar 2015
Format:Taschenbuch|Verifizierter Kauf
I already read a few books about trading, technical indicators and stuff like that. And i also watched days of tutorial videos about trading and all that stuff, but this ist by far the best book i ever got for this topic.
It explains the basic Theory on strategy development, delivers very good ideas about how to set up/ start a trading system, and it also has some practical examples with a step by step tutorial!

i would give it 6 stars if possible :)
Sebastian Rothe
War diese Rezension für Sie hilfreich?
5.0 von 5 Sternen Very parctiacal book 20. Februar 2013
Format:Kindle Edition|Verifizierter Kauf
Very good book. I am working now in the industry as a quant for few years. So far this is one of the best books about Trading Systems that I know. It covers many topics. For anyone who want to start development I recommend strongly this book.
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2 von 3 Kunden fanden die folgende Rezension hilfreich
4.0 von 5 Sternen Grundlagen vermitteln , aktuelle Fallbeispiele 17. Oktober 2010
Format:Taschenbuch|Verifizierter Kauf
Sehr interessantes Lehrbuch . Vermittelt Basiswissen für die Erstellung von HS . Praxisorientiert und recht aktuell . KB
War diese Rezension für Sie hilfreich?
Die hilfreichsten Kundenrezensionen auf (beta) 4.3 von 5 Sternen  25 Rezensionen
71 von 71 Kunden fanden die folgende Rezension hilfreich
5.0 von 5 Sternen Process-Robust System Development (finally!) 13. September 2011
Von Serac - Veröffentlicht auf
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. Do not buy this book for the automated system it describes - buy this book for the robust system development process it presents.

My only gripe is that there is no discussion regarding backtesting vs forward testing. There is an excellent chapter describing walkforward optimization. But, the authors stop just short, and do not compare the out-of-sample backtest results with the results from forward testing.

Highly recommended. I buy many books from Amazon, but this is the first review I have written. I was that impressed.
16 von 16 Kunden fanden die folgende Rezension hilfreich
4.0 von 5 Sternen Best practice back testing 14. März 2010
Von Linus Nilsson - Veröffentlicht auf
Format:Taschenbuch|Verifizierter Kauf
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.
7 von 7 Kunden fanden die folgende Rezension hilfreich
5.0 von 5 Sternen One of the best books on building reliable trading systems 6. Februar 2014
Von Hans-Henrik Nielsen - Veröffentlicht auf
Format:Taschenbuch|Verifizierter Kauf
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.
3 von 3 Kunden fanden die folgende Rezension hilfreich
4.0 von 5 Sternen The reader would be advised to further research the subject of curve fitting and proper testing found in Kevin Davey's excellent 23. Oktober 2014
Von GCT - Veröffentlicht auf
A well written book with valuable information, a worth while read for the serious automation trader. I found information on outliers to be especially helpful. Unfortunately, my testing indicated that the strategy currency pair example developed in the book was curve fitted. I was able to replicate the equity curve shown in the book, but the equity curve didn't hold up at all past the last date of the book's equity curve. I was unable to rectify this with further development. The reader would be advised to further research the subject of curve fitting and proper testing found in Kevin Davey's excellent book, also sold on Amazon.
4 von 5 Kunden fanden die folgende Rezension hilfreich
5.0 von 5 Sternen Great read! 15. Januar 2012
Von James Lee - Veröffentlicht auf
Format:Kindle Edition|Verifizierter Kauf
Nice review by Daniel Lockhart! This is indeed a very useful book for the right audience. I finished reading it in 2 days because I have been tinkering with codes for over 2 years after a 3-year emotional rollercoaster-ride trading forex manually for countless sleepless nights. I have a good background in Technical Analysis and programming so I have no problem translating the author's ideas into codes. However, this book is not about writing codes, it is about the step-by-step thought process in developing your own trading system the right way backed by backtesting, optimization, and statisical analysis. The stats analysis is what make your final system credible and worthy of testing with real money, without it, I am afraid, could just be another curve-fitted blackbox touted by TV infomercials. If you have a basic understanding in probability & statistics as well as programming and trading methods then you will sail through the book in no time. 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%. This book is a must read amongst others, Come Into My Trading Room, Trade Your Way To Financial Freedom...
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