Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading
by Kevin Davey
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.
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.