Review Trading Systems: A New Approach to System Development and Portfolio Optimisation
by URBAN JAEKLE and EMILIO TOMASINI
Success in trading is composed of three important factors: adaptation of present codes to the persisting market status, knowledge on how to develop a portfolio, and definite decision-making in terms of stopping and starting systems. Though the trading environment is a tight and highly-competitive field, there are market winners every day. Due to the complexities that trading projects, many fail to realize this. As most people refuse to acknowledge this, stories of successful traders are narrated to testify to this claim. And one can also make it big in the field through the utilization of systems.
Trading Systems was published with a singular purpose of helping traders build a conducive and winning trading system. It gives logic and rationale to important matters that traders must know and do in order to attain profitability. It’s simple narrative carries out an idea that one does not need to be a professional practitioner to develop and design a trading system capable of mounting profits.
Basically, this book is divided into three sections. The first part is dedicated to insights that the author personally presented to provide readers helpful tips in planning, developing, and implementing a system. The first part was anchored to the second section, which gives readers thoroughly discussed methods for system development. And lastly, the third section presents a discussion on how to combine multiple trading systems to a fully-developed, highly-efficient, and optimum system profile.
About the Authors
EMILIO TOMASINI endeavors in proprietary trading with previous engagements with banks and hedge funds. Presently, he is a professor at the University of Bologna, specializing in Corporate Finance. He renders discussion for different financial forums and conventions.
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
Part 1- A Practical Guide to Trading System Development and Evaluation
- Chapter 1- What is Trading System?
- Chapter 2- Design, Test, Optimization, and Evaluation of a Trading System
Part 2- 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
- Chapter 4- Two Methods for Evaluating the System’s Predictive Power
- Chapter 5- The Factors Around Your System
- Chapter 6- Periodic Re-Optimization and Walk Forward Analysis
- Chapter 7- Position Sizing Example Using the Luxor System
Part 3- Systematic Portfolio Trading
- Chapter 8- Dynamic Portfolio Construction
Appendices: Systems and Ideas
- Appendix 1: Bollinger Band System
- Appendix 2: The Triangle System
- Appendix 3- Portfolios with the LUXOR Trading System