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Building Winning Algorithmic Trading Systems
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Table of Contents

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

About the Author

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(R) 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.

Reviews

?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 (R) 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 (R) 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 (R) 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

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