A mutual fund is a company that brings money together from people and invests it in portfolio and manages portfolio trading. Given the complexity of trading, the use of a trading system to identify Portfolio management, is always regarded by these funds. Transactions based on an efficient system, help funds managers to make decisions, timely, efficient and compatible with funds objectives. A trading system sets clear guidelines for determining four vital components of transactions which are trading case, amount, and the times of buying and selling. In designing a trading system for stock mutual funds all components of the system should be made in a way that fits the constraints and characteristics of that financial institution. In this thesis a combined multi-step strategy is proposed to be used in the funds trading system. In the first step, successful industries are selected from the 10major industries stocks. That selection is made with a fundamental approach andthe application of MCDM method and PPROMETHHE model. For the beginning, Effective criteria should be specified for industrial returns. Because of uncertain criteria,there is no possibility of using common MCDM models. And the decision should be made in probable conditions. For this purpose, an integrated approach of planning scenarios and PROMETHEE models has been used. In This approach by definingcenarios, uncertain conditioare converted into certain conditions anddecision-making is going to be done in this situation. In the second step, successful companies are chosen from the selected industries. That selection is made with a fundamental approach andthe application of MCDM method and PPROMETHHE model. For this purpose, the three following sub-model of risk, return and liquidity are used. In each sub-model, the criteria which are effective on the objectives are specified. And Companies are ranked regarding the criteria. The final ranking results with the integration of three sub-models are done by Average Rating. In the third step the optimal allocation to companies is determined. For This purpose the optimization model is used in the company level. This model aims to minimize the risk and maximize the liquidity and return of the portfolio. In the final step, multi-level strategy and a technical approach is used for determining opportune transaction times. In this strategy warnings are announced within a few steps by Technical indicators. And those warnings should be consecutive and should confirm each other. For this purpose short-term and long-term Moving Average and RSI indicator are used. With any of those warnings, one part of the desired transaction volume should be traded. In order to increase the functional aspect of the proposed system, Strategy process, has been implemented in MATLAB environment in a software format, that enables users, without doing the calculations and solely with preparing software documents and information required, to have suggested Results. Mutual funds analysts can exploit interactive, comprehensive, practical approach which is consistent with the restrictions and circumstance of Funds for the fundmanagement transactions, with the use of combined complex trading systems and the provided software
