Review Trading Systems: A new approach to system development and portfolio optimisation
by URBAN JAEKLE, EMILIO TOMASINI
This book details all the important factors in creating a winning trading system. It gives insight on how to succeed in the trading industry and how to profit in the market. It proves that even beginning traders without a professional-level experience in investing, can become successful.
This book delves into the process of adapting existing codes and blending it into current market conditions, building the right trading portfolio, and identifying the right timing to stop or begin using a system.
The book contains essential information in developing a trading system and building a competitive portfolio. It discusses various trading strategies, such as Bollinger Bands, and shows how the reader can profit out of using it. The book is divided into three chapters: with the first focusing on a brief guide to trading systems; the second is an instructional guide to developing a trading system, and the third showing how to build a competitive portfolio. These three chapters work together and form a book that tells readers how to develop a trading system from scratch.
About the Authors
URBAN JAEKLE has twenty-five years of experience trading stocks and over twenty years of experience trading futures. He has worked on the Chicago Mercantile Exchange and taught money management to institutional investors using Algo trading systems.
EMILIO TOMASINI is an Adjunct Professor of Corporate Finance at the University of Bologna. He began in 1997 in managing swing trading signals service on Nasdaq stocks. He is among the most famous experts on trading systems in Europe.
Table of Contents
Preface to the Second Edition
PART I: A SHORT PRACTICAL GUIDE TO TRADING SYSTEM DEVELOPMENT AND EVALUATION
- What is a Trading System?
- Design, Test, Optimisation and Evaluation of a Trading System
PART II: TRADING SYSTEM DEVELOPMENT AND EVALUATION OF A REAL CASE
- How to Develop a Trading System Step-By-Step—Using the Example of the British Pound/US Dollar Pair
- Two Methods for Evaluating the System’s Predictive Power
- The Factors Around Your System
- Periodic Reoptimisation and Walk-forward Analysis
- Position Sizing Example, Using the LUXOR System
PART III: SYSTEMATIC PORTFOLIO TRADING
- Dynamic Portfolio Construction
- Trading a Portfolio of Stocks
Appendices: Systems and Ideas
Appendix 1. Bollinger Band System
Appendix 2. The Triangle System
Appendix 3: Portfolios with the LUXOR Trading System
Appendix 4. EasyLanguage Code Section
Appendix 5. AmiBroker Code Section