Develop your own trading system with practical guidance and expert advice

In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas.

A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system--enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm.

• Learn the systems that generated triple-digit returns in the World Cup Trading Championship
• Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms
• Test your new system using historical and current market data

• Mine market data for statistical tendencies that may form the basis of a new system

  Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.

  Autorentext

  KEVIN J. DAVEY is a professional trader and a top-performing systems developer. He generated triple-digit annual returns of 148 percent, 107 percent, and 112 percent in three consecutive World Cup Championships of Futures Trading® using algorithmic trading systems. His web site, www.kjtradingsystems.com, provides trading systems, trading signals, and mentoring. He writes extensively in industry publications such as Futures Magazine and Active Trader and was featured as a "Market Master" in the book The Universal Principles of Successful Trading by Brent Penfold (Wiley, 2010). An aerospace engineer and MBA by background, Davey has been an independent trader for over 20 years. Davey continues to trade full time and develop algorithmic trading strategies.

  Klappentext

  Develop your own trading system with practical guidance and expert advice In Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas. A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system--enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm. Learn the systems that generated triple-digit returns in the World Cup Trading Championship Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms Test your new system using historical and current market data Mine market data for statistical tendencies that may form the basis of a new system Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.

  Inhalt

  Acknowledgments ix

  About the Author x

  Introduction 1

  Part I A Trader's Journey 7

  Chapter 1 The Birth of a Trader 9

  Chapter 2 Enough Is Enough 15

  Chapter 3 World Cup Championship of Futures Trading ® Triumph 23

  Chapter 4 Making the Leap-Transitioning to Full Time 33

  Part II Your Trading System 41

  Chapter 5 Testing and Evaluating a Trading System 43

  Chapter 6 Preliminary Analysis 53

  Chapter 7 Detailed Analysis 61

  Chapter 8 Designing and Developing Systems 71

  Part III Developing a Strategy 77

  Chapter 9 Strategy Development-Goals and Objectives 79

  Chapter 10 Trading Idea 83

  Chapter 11 Let's Talk about Data 93

  Chapter 12 Limited Testing 103

  Chapter 13 In-Depth Testing/Walk-Forward Analysis 115

  Chapter 14 Monte Carlo Analysis and Incubation 129

  Chapter 15 Diversification 133

  Chapter 16 Position Sizing and Money Management 139

  Chapter 17 Documenting the Process 147

  Part IV Creating a System 153

  Chapter 18 Goals, Initial and Walk-Forward Testing 155

  Chapter 19 Monte Carlo Testing and Incubation 163

  Part V Considerations Before Going Live 175

  Chapter 20 Account and Position Sizing 177

  Chapter 21 Trading Psychology 187

  Chapter 22 Other Considerations before Going Live 195

  Part VI Monitoring a Live Strategy 203

  Chapter 23 The Ins and Outs of Monitoring a Live Strategy 205

  Chapter 24 Real Time 219

  Part VII Cautionary Tales 233

  Chapter 25 Delusions of Grandeur 235

  Conclusion 243

  Appendix A Monkey Trading Example, TradeStation Easy Language Code 247

  Appendix B Euro Night Strategy, TradeStation Easy Language Format 255

  Appendix C Euro Day Strategy, TradeStation Easy Language Format 259

  About the Companion Web Site 263

  Index 265