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

Trading Systems: A New Strategy to System Advancement and Portfolio Optimisation

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

“The secret is ways to adjust existing codes to the present market conditions, ways to construct a portfolio and how to understand when the moment has pertained to stop one system and start another one.” Every day there are traders who succeed. It may seem that it seldom takes place, but it does – as William Eckhardt, Ed Seykota, Jim Simons, and numerous others remind us. You can join them by utilizing systems to manage your trading. This book explains precisely how you can develop a winning trading system. It is an understanding

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3 thoughts on “Trading Systems: A New Approach to System Development and Portfolio Optimisation

  1. 70 of 70 people found the following review helpful
    5.0 out of 5 stars
    Process-Robust System Development (finally!), September 12, 2011
    By 
    Serac (Tucson, AZ USA) –

    This review is from: Trading Systems: A New Approach to System Development and Portfolio Optimisation (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. 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.

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  2. 16 of 16 people found the following review helpful
    4.0 out of 5 stars
    Best practice back testing, March 14, 2010
    By 
    Linus Nilsson
    (REAL NAME)
      

    Verified Purchase(What’s this?)
    This review is from: Trading Systems: A New Approach to System Development and Portfolio Optimisation (Paperback)
    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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  3. 6 of 6 people found the following review helpful
    5.0 out of 5 stars
    One of the best books on building reliable trading systems, February 6, 2014
    Verified Purchase(What’s this?)
    This review is from: Trading Systems: A New Approach to System Development and Portfolio Optimisation (Paperback)
    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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