This paper proposes a trading system (TS) based on a multicriteria decision aid (MCDA) process known as TODIM, (Multicriteria Interactive Decision Making) a Portuguese acronym for interactive and multicriteria decision-making. MCDA has been employed to solve financial questions because of its ability to deal with a complex environment populated with different sorts of criteria and alternatives, such as financial markets. The aim is to propose a general and adaptive tool for supporting the trading strategies of investors and market practitioners in such an environment. The reason for selecting TODIM among the different MCDA methods is that it is based on prospect theory, which assumes that the risk profile of the investor varies according to different situations, considering the risk of loss or gain. A list of simulations using some of the most prominent Brazilian stocks is performed, and the results are compared with the Buy-and-Hold benchmark and a TS based on an ensemble method for selecting trading rules. The results show that, compared to Buy-and-Hold, a TODIM-based TS provides the same level of return with a lower level of risk exposure. The consequence is superior risk adjustment parameters. As a result, we have a model with similar results in profit, but with superior results in relation to risk-based performance, which makes the method advantageous in relation to similar ones.