Trading Systems


  • Pages: 254
  • Format: PDF
  • Published Date: 2009


Trading Systems: A New Approach to System Development and Portfolio Optimisation

Trading Systems 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.


The book is divided into three parts. Part one is a short practical guide to trading systems’ development and evaluation. This part, which is written by Emilio Tomasini, forms the theoretical basis for part two. It tries to condense our experience in a few practical tips that go beyond what you can find written in other books.

In part two, written by Urban Jaekle, readers will find a step-by-step development process that goes from the very initial code writing up to walk forward analysis and money management. This main part of the book was the result of the combination of Emilio Tomasini’s experience and Urban Jaekle’s practical application of trading systems and evaluation. We both put our ideas together in the programming work, system tests and evaluation of the presented methods.

Part three, written by Emilio Tomasini, treats the topic of portfolio composition: how to put all systems for all different markets together in the most effective way. We believe that this chapter regarding systematic portfolio composition is by far the most updated state of the art survey on how to build a portfolio. The book is completed with an appendix of systems and ideas from Urban Jaekle which we published within the last three years in about 20 different articles. Take it as a short basis to start building your own trading system portfolio with the help of the tools given to you within this book.


  • What is a trading system?
  • Design, test, optimisation and evaluation of a trading system
  • 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 re-optimisation and walk forward analysis
  • Position sizing example, using the LUXOR system
  • Dynamic portfolio construction