Trading Systems: A New Approach to System Development and Portfolio Optimisation Paperback – October 1, 2009

This is my favorite book about trading systems, very well organized, very complete and full of awesome ideas. All the bibliography is a MUST read too (Pardo, Aronson, STAD club, Murray, Stridsman, etc)About the book's trading systems:Luxor: I think there is a trick in the $30 commissions Round Turn (RT)... why?I) The Luxor system shows results without commissions: $66318 net profit and 1913 trades.II) Then takes $30 commission RT and results goes to 1913 trades * $30 = $57390 just in commission. Figure 3.3b) shows the new net profit result ($66318 - $57390) $8928III) Then comes the chapter about changing parameters of the Moving Average (MA) Fast from 10 to 1 and MA Slow from 30 to 44 resulting in 2,980 trades and $100,125 net profit. Here there's a RINA chart in figure 3.5 where the Fast MA 10 and Slow MA 30 is far more than $8,928, since in the graph this combination is in the dark blue area, so I think here commissions aren't really $30.... maybe the author lowered to $5-7 (?) in order to achieve results close to the $100,125 net profit presented in Table 3.2.IV) Results from II) and III) shows inconsistency, net profit improves from $8,928 to $100,125 for just a simple MA length changes is a 900% improving, and this could work as blind test in order to show that $30 commissions RT were lowered for the next chapters...Bollinger Band System: the Easy Language code is wrong since the logic presented in Figure 5.4B is "Buy when price cross OVER the Bollinger Upper Band" (not UNDER ) ... same for SHORT positionI will put 5 stars but the flaws on the systems matters.

A worthy read, for novice to intermediate level aspiring Systematic Traders.Because the discipline/art of Systematic Trading is evolving and progressing so quickly, its very difficult to write a book that doesn't swiftly become dated. Jaekle and Tomasini have done an admirable job here of avoiding that trap, and this book is a worthy addition to the library of anyone interested in the craft.I'd caution the reader to never rely on any singular resource as they begin to create their foundation and chart their course as a trader, and have a healthy skepticism towards any individual or publication that claims to help them build winning systems quickly and easily, but rather to take in several such works, adding a more full and complete context to your arsenal, and the optimal path forward will begin to reveal itself organically.Keep in mind that the most valuable trade secrets remain just that, secrets. . . and the best and brightest in this field rarely lay out their means and methods from A to Z, more often than not holding back key elements and proprietary (and hard won) trade secrets. The solution here is to take in everything you can, and allow the puzzle pieces to eventually form some cohesive whole. Context and experience is everything, there are no silver bullets or shortcuts, but there *are* slightly more or less efficient paths. . .I tend to think this book lays out a fair amount of important foundational knowledge, and for that reason is a worthwhile read for those interested in systematizing their trading.

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 portfolioAs 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.

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...

This book is for beginners. It contains some cool, but very basic concepts. The trading system that is developed trough the book is more of an optimisation task on past events rather than a principles that would work in real life.If the reader has some experience in algorithm trading there is no much value added by this book. A much more valuable book in the same topic is Systematic Trading by Robert Carver.

Dieses Buch ist das optimale Einsteigerbuch für zukünftige systematischen Trader. Es ist deutlich genauer als geschrieben als z.B: das Buch von Kevin Davey und sagt deutlich und genau worauf es ankommt. Nämlich das man bei der Optimierung der Parameter eines Systems, jeden Parameter einzeln optimiert und einen stabilen Wert auswählen.Es ist außerdem in einem leicht verständlichen Englisch geschrieben und somit für Jeden geeignet.Die Autoren sprechen zwar auch über Grundlagen vom systematischen Trading und Handelsstrategien, jedoch nur soweit es nötig. Also ist es auch für Fortgeschrittene Trader, die auf das Systematische Trading umsteigen wollen, gut geeignet.

An excellent book, covering all the important aspects of auto trading approaches from both theoretical and practical perspectives. Simple and elegant with practical examples.It can, however, be supported by more citations. A more recent version is required as well, given the geometric advancements in technology and statistical methods since the first publication.

I won't repeat what most of the reviews have already stated but I'll add that this book is inexpensive compared to the value it delivers. I have been building trading models since 2006 and own quite a large library on the subject but this is without a doubt the best book on the subject and the content is worth hundreds if not thousands of pounds/dollars. This should be required reading for all trading robot builders and system developers.

This book will help new traders and those who have been involved in trading for a while. The book is based around the creation of the Luxor system ( you can find details on the net). What is important is not whether the system still works but the systematic approach to finding and testing it. Time's of day, ongoing adjustments etc are all covered in an intelligent but accessible read. Worth the money and good on kindle.