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Trading Systems [CLV] [Paperback]

Emilio Tomasini , Urban Jaekle
4.8 out of 5 stars  See all reviews (4 customer reviews)
Price: 34.99 & FREE Delivery in the UK. Details
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Book Description

4 Mar 2009
Every day the sun rises on the horizon there are some traders who make a fortune. It seldom happens but it does happen, as the names of William Eckhardt, Ed Seykota, Jim Simons, and many others remind us. And you can be one of them. "Trading Systems" is an insight into what a trader should know and do in order to achieve success on the markets. You don't need to be a rocket scientist to build a winning trading system. Divided into three parts, this book highlights exactly how you can build that system. Part one is a short practical guide to trading systems' development and evaluation, forming the theoretical basis for part two. It condenses the authors' years of experience in a number of practical tips. A step-by-step development process covering everything from the initial code writing up to walk forward analysis and money management makes up part two; a combination of Emilio Tomasini's experience and Urban Jaekle's practical application of trading systems and evaluation. Part three shows you how to put systems for all different markets together in the most effective way. A trader can never say he achieved success but only that he survived: the black swan is always around the corner. "Trading Systems" will help you find your way among the unchartered waters of systematic trading and show you what it takes to be the one that survives.

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Trading Systems + Algorithmic Trading and DMA: An introduction to direct access trading strategies + Quantitative Trading: How to Build Your Own Algorithmic Trading Business (Wiley Trading)
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Product details

  • Paperback: 256 pages
  • Publisher: Harriman House Ltd; 2009 by Harriman House edition (4 Mar 2009)
  • Language: English
  • ISBN-10: 1905641796
  • ISBN-13: 978-1905641796
  • Product Dimensions: 24.1 x 16.8 x 1.3 cm
  • Average Customer Review: 4.8 out of 5 stars  See all reviews (4 customer reviews)
  • Amazon Bestsellers Rank: 146,988 in Books (See Top 100 in Books)
  • See Complete Table of Contents

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Product Description

About the Author

Emilio Tomasini is a proprietary trader for many European banks and hedge funds and Adjunct Professor of Corporate Finance at the University of Bologna, Italy. His website is Urban Jaekle provides trading systems' advisory services to a hedge fund with automated trading systems on futures. He holds a diploma in physics, is a regular speaker in the main European trading events, and contributes to TRADERS' and Active Trader magazine.

Inside This Book (Learn More)
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Front Cover | Copyright | Table of Contents | Excerpt | Index | Back Cover
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Customer Reviews

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4.8 out of 5 stars
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Most Helpful Customer Reviews
2 of 2 people found the following review helpful
4.0 out of 5 stars Short but to the point 2 Oct 2012
By Brian M
Although this is a reasonably short book, it is a pretty thorough explanation of current state-of-the-art techniques in constructing quantitative trading systems. It could give a bit more background on performance measurement and money management, and is a little expensive, but is still to be recommended.
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7 of 9 people found the following review helpful
This book is clear, consise and extremely informative. If you are interested in automated/ mechanical trading systems I would urge you to read and re-read this text. The authors have approached a very complex subject and throughout the book a system is developed and tested; guiding the reader on robust optimization techniques.
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5.0 out of 5 stars A system and an approach 9 Mar 2014
Format:Kindle Edition|Verified Purchase
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.
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2 of 6 people found the following review helpful
5.0 out of 5 stars Great 6 Mar 2011
By Fedeo
This is my first review after dozens of Trading books bought in the last 10 years but I really felt in such case like a duty to thank the writers of such books for the great methodology and experience shared all over the pages of the book.
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Most Helpful Customer Reviews on (beta) 4.5 out of 5 stars  16 reviews
50 of 50 people found the following review helpful
5.0 out of 5 stars Process-Robust System Development (finally!) 13 Sep 2011
By Serac - Published on
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.
14 of 14 people found the following review helpful
4.0 out of 5 stars Best practice back testing 14 Mar 2010
By Linus Nilsson - Published on
Format:Paperback|Verified Purchase
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.
3 of 3 people found the following review helpful
5.0 out of 5 stars One of the best books on building reliable trading systems 6 Feb 2014
By Hans-Henrik Nielsen - Published on
Format:Paperback|Verified Purchase
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.
7 of 9 people found the following review helpful
4.0 out of 5 stars Wow 22 May 2010
By Jeff S. King - Published on
Format:Paperback|Verified Purchase
Wish I had more time to write a more proper review, but I'm pressed for time. So here goes.

Being relatively new to trading system development, I found this book extremely helpful. That said, it _does_ presume the reader to have at least a 300 level of trading systems and trading system development. Snag this book while you can, it's well worth the read. Just don't try to read it during commercial breaks or some nonsense like that. It requires your full undivided attention.
2 of 2 people found the following review helpful
5.0 out of 5 stars Best of the bunch 19 May 2013
By That Lark - Published on
Format:Paperback|Verified Purchase
I've been reading a lot of books like this lately. I have experience with TradeStation and I am a programmer. This book really shows you how to go about writing and optimizing a trading system. You are hand-held through the evolution of a real working system and shown how to interpret the various tables and plots that TS offers. This book is of actual help, not just full of "do this", "don't do that" kind of advice.
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