Building Winning Algorithmic Trading Systems (eBook)

A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading

Kevin J. Davey (Autor)

eBook Download: PDF

2014
John Wiley & Sons (Verlag)
978-1-118-77891-3 (ISBN)

Infos

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.

Autor

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.

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

Rezensionen

"This is a great book to get a much better understanding
of what in really involved in system development and help on your
journey from someone with a lot of real-life trading experience.
For those already working with systems, it may challenge some of
the approaches you use and help you to become a better system
developer and trader. From my perspective, the chance to look over
Kevin's shoulder and see the concepts and full code from some
systems he has been using in his own trading alone would be of far
more value than the cost of the book."

--Tim Rea, Proprietary systems developer/trader; 1st place
winner, World Cup Championship of Futures Trading®
2011

"Part Reminiscences of a Stock Operator and part
Market Wizards, Kevin Davey has written a superb book for
the modern trader. Not only does Kevin provide a step-by-step plan
on how to develop algorithmic trading strategies but he actually
reveals the strategy he used to win The World Cup Championship Of
Futures Trading® along with two additional euro currency
systems. I have no doubt this will become a popular and often
referenced book amongst traders. Readers will find Kevin's
humble and engaging voice easy to follow and grasp. They will also
find his personal journey from aerospace engineer to beginner
trader, to a championship winning trader and finally to a full time
professional trader insightful, entertaining, and inspiring. Wiley
should also be congratulated for recruiting a real trader who
trades real markets with real money to write a trading book for
people aspiring to become real traders. I highly recommend this
book to anyone who is serious about developing a successful and
sustainable trading career."

--Brent Penfold, professional trader and author of The
Universal Principles of Successful Trading (Wiley 2010)

"Few trading books on the market today are written by
those who actually make their living from trading and those that
are frequently suffer from being unintelligible to the layman.
Kevin Davey has the authenticity of a real trader and the ability
to distill complex ideas into a format that is easy to read and, at
times, brutally honest. For those aspiring to trading success,
Kevin gives a step by step guide on how to approach systems
development as well as outlining many of the pitfalls to avoid and
throughout the book he provides a wealth of information and tools
that will prove invaluable to novice or expert alike."

--Michael Cook, Founder, Katmai Capital Advisors; World Cup
Championship of Futures Trading® 2007

"Of all the trading books that I've read, this book
takes the cake. Kevin Davey brings us a realistic perspective in an
industry full of dreamers. I suggest that all traders drop what
they're doing and read the incredibly valuable lessons summed
up in this book. This book is the quickest path for a new
trader to stop dreaming and start succeeding."

--Peter Hagen, Citracado Capital, LLC

Produkt-Details

• Erscheint lt. Verlag: 11.6.2014
• Reihe/Serie: Wiley Trading
• Reihe/Serie: Wiley Trading Series
• Reihe/Serie: Wiley Trading Series
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Informatik ► Theorie / Studium
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: adjusting algorithmic trading systems • Alternative Trading System • analyzing market data • analyzing market patters • automated trading • automated trading software • automating trading • Börsenhandel • Börsenhandel • Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading • developing trading systems • DIY trading system • Finance & Investments • Finanz- u. Anlagewesen • increasing returns • investment data mining • investment strategies • Kevin Davey • market analysis • mastering the market • Trading • trading algorithm • trading strategies • trading system process
• ISBN-10: 1-118-77891-X / 111877891X
• ISBN-13: 978-1-118-77891-3 / 9781118778913