Building Algorithmic Trading Systems: A Trader's Journey from Data Mining to Monte Carlo Simulation to Live Trading + Website.pdf

Building Algorithmic Trading Systems: A Trader's Journey from Data Mining to Monte Carlo Simulation to Live Trading + Website.pdf


Award-winning trader Kevin Davey explains how he evolved from a discretionary to a systems trader and began generating triple-digit annual returns. An inveterate systems developer, Davey explains the process of generating a trading idea, validating the idea through statistical analysis, setting entry and exit points, testing, and implementation in the market. Along the way, Davey provides insightful tips culled from his many years of successful trading. He emphasizes the importance of identifying the maximum loss a system is likely to produce and to understand that the higher the returns on a system, the higher the maximum loss. To smooth returns and minimize risk, Davey recommends that a trader utilize more than one system. He provides rules for increasing or decreasing allocation to a system and rules for when to abandon a system. As market patterns change and system performance changes and systems that performed spectacularly in the past may perform poorly going forward. The key for traders is to continue to develop systems in response to markets evolving statistical tendencies and to spread risk among different systems. An associated website will provide spreadsheets and other tools that will enable a reader to automate and test their own trading ideas.Readers will learn: - The systems Davey used to generate triple-digit returns in the World Cup Trading Championships- How to develop an algorithmic approach for around any trading idea, from very simple to the most complex using off-the-shelf software or popular trading platforms.- How to test a system using historical and current market data- How to mine market data for statistical tendencies that may form the basis of a new systemDavey struggled as a trader until he developed an algorithmic approach. In this book, he shows traders how to do the same.

Acknowledgments About the Author Introduction Part 1: A Trader's Journey Chapter 1 The Birth of a Trader Chapter 2 Enough Is Enough Chapter 3 World Cup Championship of Futures Trading (R) Triumph Chapter 4 Making the Leap ~ Transitioning to Full Time Part 2: 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 3: 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/Walkforward Analysis Chapter 14 Monte Carlo Analysis and Incubation Chapter 15 Diversification Chapter 16 Position Sizing and Money Management Chapter 17 Documenting the Process Part 4: Creating a System Chapter 18 Goals, Initial and Walkforward Testing Chapter 19 Monte Carlo Testing and Incubation Part 5: Considerations before Going Live Chapter 20 Account and Position Sizing Chapter 21 Trading Psychology Chapter 22 Other Considerations before Going Live Part 6: Monitoring a Live Strategy Chapter 23 The Ins and Outs of Monitoring a Live Strategy Chapter 24 Real Time Part 7: Putting It All Together Chapter 25 Delusions of Grandeur Chapter 26 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 Website Index


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