Building Winning Algorithmic Trading Systems
About the book
Kevin Davey discusses the various processes involved in live trading with a step-by-step demonstration. This includes: (1) generating and validating the idea, (2) setting up entry and exit points, (3) testing the systems, and (4) applying it in live trading.
The book will help the reader learn and understand the systems that generate triple-digit returns, possess an algorithmic approach in trading ideas, test the system created using historical and recent market data, and mine market data for statistical tendencies that may become the basis of a new system.
Review
The book mainly focuses on the validation of trading systems, and not exactly about building it. The author gives enough tips on the stuff that traders must avoid to not fall in a pit of losses. The rest of the book only discusses about the testing of the trading systems.
The book does not delve into the significant details of how to “win” algorithmic trading systems as foremost, and the book does not discuss building nor establishing it. It only goes on to generally test trading systems alongside a discussion of what a trader must not do to fail. Basically, if you are a reader who is looking to learn about building these “winning” algorithmic trading systems, this book is not the one for you.
About the Author
KEVIN J. DAVEY is a trader for almost thirty years and is renowned for his work as an algorithm trading systems developer. He authored four books on trading and investing, all of which are bestsellers. He is also the author of the monthly column “Algo Q&A” for the magazine “Technical Analysis of Stocks and Commodities.” He is an aerospace engineer and has an MBA.
Table of Contents
Acknowledgments
About the Author
Introduction
PART I A TRADER’S JOURNEY
CHAPTER 1 The Birth of a Trader
CHAPTER 2 Enough Is Enough
CHAPTER 3 World Cup Championship of Futures Trading® Triumph
CHAPTER 4 Making the Leap—Transitioning to Full Time
PART II YOUR TRADING SYSTEM
CHAPTER 5 Testing and Evaluating a Trading System
CHAPTER 6 Preliminary Analysis
CHAPTER 7 Detailed Analysis
CHAPTER 8 Designing and Developing Systems
PART III DEVELOPING A STRATEGY
CHAPTER 9 Strategy Development—Goals and Objectives
CHAPTER 10 Trading Idea
CHAPTER 11 Let’s Talk about Data
CHAPTER 12 Limited Testing
CHAPTER 13 In-Depth Testing / Walk-Forward Analysis
CHAPTER 14 Monte Carlo Analysis and Incubation
CHAPTER 15 Diversification
CHAPTER 16 Position Sizing and Money Management
CHAPTER 17 Documenting the Process
PART IV CREATING A SYSTEM
CHAPTER 18 Goals, Initial and Walk-Forward Testing
CHAPTER 19 Monte Carlo Testing and Incubation
PART V CONSIDERATIONS BEFORE GOING LIVE
CHAPTER 20 Account and Position Sizing
CHAPTER 21 Trading Psychology
CHAPTER 22 Other Considerations before Going Live
PART VI MONITORING A LIVE STRATEGY
CHAPTER 23 The Ins and Outs of Monitoring a Live Strategy
CHAPTER 24 Real Time
PART VII CAUTIONARY TALES
CHAPTER 25 Delusions of Grandeur
Conclusion
APPENDIX A Monkey Trading Example, TradeStation Easy Language Code
APPENDIX B Euro Night Strategy, TradeStation Easy Language Format
APPENDIX C Euro Day Strategy, TradeStation Easy Language Format
About the Companion Web Site
Index
