Davey Building Algorithmic Trading Systems

A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading
1. Auflage 2014
ISBN: 978-1-118-77891-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 288 Seiten, E-Book

Reihe: Wiley Trading Series

Develop your own trading system with practical guidance andexpert advice
In Building Algorithmic Trading Systems: A Trader's JourneyFrom Data Mining to Monte Carlo Simulation to Live Training,award-winning trader Kevin Davey shares his secrets for developingtrading systems that generate triple-digit returns. With bothexplanation and demonstration, Davey guides you step-by-stepthrough the entire process of generating and validating an idea,setting entry and exit points, testing systems, and implementingthem in live trading. You'll find concrete rules for increasing ordecreasing allocation to a system, and rules for when to abandonone. The companion website includes Davey's own Monte Carlosimulator and other tools that will enable you to automate and testyour own trading ideas.
A purely discretionary approach to trading generally breaks downover the long haul. With market data and statistics easilyavailable, traders are increasingly opting to employ an automatedor algorithmic trading system--enough that algorithmic tradesnow account for the bulk of stock trading volume. BuildingAlgorithmic Trading Systems teaches you how to develop your ownsystems with an eye toward market fluctuations and the impermanenceof even the most effective algorithm.
* Learn the systems that generated triple-digit returns in theWorld Cup Trading Championship
* Develop an algorithmic approach for any trading idea usingoff-the-shelf software or popular platforms
* Test your new system using historical and current marketdata
* Mine market data for statistical tendencies that may form thebasis of a new system
Market patterns change, and so do system results. Pastperformance isn't a guarantee of future success, so the key is tocontinually develop new systems and adjust established systems inresponse to evolving statistical tendencies. For individual traderslooking for the next leap forward, Building Algorithmic TradingSystems provides expert guidance and practical advice.

Autoren/Hrsg.

Davey, Kevin

Inhaltsverzeichnis

Acknowledgments ix
About the Author xi
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 Triumph23
CHAPTER 4 Making the Leap--Transitioning to Full Time33
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 Diversifi cation 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 Strategy205
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 LanguageCode 247
APPENDIX B Euro Night Strategy, TradeStation Easy LanguageFormat 255
APPENDIX C Euro Day Strategy, TradeStation Easy LanguageFormat 259
About the Companion Web Site 263
Index 265

Über Autor(innen)

KEVIN J. DAVEY is a professional trader and atop-performing systems developer. He generated triple-digit annualreturns of 148 percent, 107 percent, and 112 percent in threeconsecutive World Cup Championships of Futures Trading® usingalgorithmic trading systems. His web site,www.kjtradingsystems.com, provides trading systems, tradingsignals, and mentoring. He writes extensively in industrypublications such as Futures Magazine and ActiveTrader and was featured as a "Market Master" in the book TheUniversal Principles of Successful Trading by Brent Penfold(Wiley, 2010). An aerospace engineer and MBA by background, Daveyhas been an independent trader for over 20 years. Davey continuesto trade full time and develop algorithmic trading strategies.