Portfolio trading with mechanical trading systems


Legendary member
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This is the best I could find so far: The Mathematics of Money Management by Ralph Vince. There's an interesting review on the book here on Amazon.com:
Amazon.com: Customer Reviews: The Mathematics of Money Management: Risk Analysis Techniques for Traders
The book is well written, reflecting level of education. The author is no dummy.

However, the community is better served to realize that there is a divide between Modern Portfolio Theory, followers of quantitative methods ad infitum, and those followers of Practical Portfolio Theory, who are more or less followers of the Edwards & Maggee/Wyckoff schools of trading thought.

My recommendation is to identify to which school of thought you belong and simply lay to rest the other quack books that come along.
From this review, one could investigate on these different schools of portfolio theory, but right now I could not find anything clearer than this book, so I'll keep reading it.

Similar thread by Steve Egan here:
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Well-known member
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"Edwards & Maggee/Wyckoff schools of trading thought"

a.k.a. losers


Legendary member
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Chapter 6 of this book, which I think is the best book on automated trading: modest, clear, concise, and no useless stuff.


2 0
I have actually tried this methdo (it is the Turtle Methdo) using a trade simulator on the GU using the H4 time frame, and it is profitable. I also have found indicators that plot system 1 & system 2 breakout lines on and MT4 chart.


Legendary member
9,840 245
Yes, thanks for the information. However, this thread isn't exactly on trading systems, but on the amount of capital that one should allocate to each trading system.
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