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Building Algorithmic Trading Systems, + Website:
A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)
by Kevin Davey
Series: Wiley Trading
Paperback: 288 pages
Publisher: Wiley; 1 edition (July 21, 2014)
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.
¡°This is a great book to get a much better understandingof what in really involved in system development and help on yourjourney from someone with a lot of real-life trading experience.For those already working with systems, it may challenge some ofthe approaches you use and help you to become a better systemdeveloper and trader. From my perspective, the chance to look overKevin¡¯s shoulder and see the concepts and full code from somesystems he has been using in his own trading alone would be of farmore value than the cost of the book.¡±
¡ªTim Rea, Proprietary systems developer/trader; 1st placewinner, World Cup Championship of Futures Trading®2011
¡°Part Reminiscences of a Stock Operator and partMarket Wizards, Kevin Davey has written a superb book forthe modern trader. Not only does Kevin provide a step-by-step planon how to develop algorithmic trading strategies but he actuallyreveals the strategy he used to win The World Cup Championship OfFutures Trading® along with two additional euro currencysystems. I have no doubt this will become a popular and oftenreferenced book amongst traders. Readers will find Kevin¡¯shumble and engaging voice easy to follow and grasp. They will alsofind his personal journey from aerospace engineer to beginnertrader, to a championship winning trader and finally to a full timeprofessional trader insightful, entertaining, and inspiring. Wileyshould also be congratulated for recruiting a real trader whotrades real markets with real money to write a trading book forpeople aspiring to become real traders. I highly recommend thisbook to anyone who is serious about developing a successful andsustainable trading career.¡±
¡ªBrent Penfold, professional trader and author of TheUniversal Principles of Successful Trading (Wiley 2010)
¡°Few trading books on the market today are written bythose who actually make their living from trading and those thatare frequently suffer from being unintelligible to the layman.Kevin Davey has the authenticity of a real trader and the abilityto distill complex ideas into a format that is easy to read and, attimes, brutally honest. For those aspiring to trading success,Kevin gives a step by step guide on how to approach systemsdevelopment as well as outlining many of the pitfalls to avoid andthroughout the book he provides a wealth of information and toolsthat will prove invaluable to novice or expert alike.¡±
¡ªMichael Cook, Founder, Katmai Capital Advisors; World CupChampionship of Futures Trading® 2007
¡°Of all the trading books that I¡¯ve read, this booktakes the cake. Kevin Davey brings us a realistic perspective in anindustry full of dreamers. I suggest that all traders drop whatthey¡¯re doing and read the incredibly valuable lessons summedup in this book. This book is the quickest path for a newtrader to stop dreaming and start succeeding.¡±
¡ªPeter Hagen, Citracado Capital, LLC
From the Back Cover
Praise for BUILDING WINNING ALGORITHMIC TRADINGSYSTEMS
"Kevin Davey was awarded either first or second place threeyears in a row in the World Cup Championship of FuturesTrading®. I'm typically not impressed with that sort ofperformance, but I think Kevin is an exception. Why? First, hepublished my feedback about winning the contest and what he learnedfrom it. He then goes on to not only give a complete approach toalgorithms, but also talks about how your psychology can stillsabotage you. Finally, he spends a lot of time talking aboutobjectives and position sizing. This is a very impressivebook."
¡ªDr. Van K. Tharp, author of Trading Beyond theMatrix: The Red Pill for Traders and Investors (Wiley),Founder, Van Tharp Institute, www.vantharp.com
"Kevin's book is a good beginner's guide to systems trading, aTrading Computer Strategies 101."
¡ªBob Pardo, Pardo Capital, author of The Evaluationand Optimization of Trading Strategies (Wiley)
"This book is a must read! It is not a simple list of rules totrade better; it is a journey through the trading life of theauthor. The author Kevin will let the man Kevin become your friend,sharing his path to becoming a successful trader."
¡ªAndrea Unger, World Cup Championship of FuturesTrading® Winner 2008, 2009, 2010, 2012
"Successful technical traders believe they have skills thatallow them to beat the market. But are these traders reallyskillful or are they just lucky? This book details the experienceof a successful trader who has devoted significant time todesigning dynamic trading strategies that attempt to exploit marketinefficiencies. Perhaps it is traders like these that drive marketstowards efficiency, or perhaps these traders just have a deeperunderstanding of markets and human psychology and therefore areable to capture some rents. The debate on market efficiency willcontinue to rage. In the meantime, perhaps we can learn from thisjourney of a successful trader."
¡ªPeter Ritchken, Kenneth Walter Haber Professor,Department of Banking and Finance, Weatherhead School ofManagement, Case Western Reserve University
"The winning trader is rare. The quantitative winning trader iseven more rare. Kevin Davey's book Building Winning AlgorithmicTrading Systems is the rarest of all gems. It is a book thattells the quantitative trader how to build a quantitative tradingsystem. It should be the textbook for all would-be quantitativehedge funds. I highly recommend this book to all traders, eventhose that do not use quantitative methods."
¡ªKurt K. Sakaeda, World Cup Championship of FuturesTrading® Winner 2000 and 2004
"This book is so much more than systems trading! I'veencountered a plethora of trading books, but this book is the firstthat I've thoroughly enjoyed reading from cover to cover. Throughpersonal accounts, he offers a candid, responsible, and highlycolorful tour of the futures markets and system building. This bookis not just for algo traders, nor is it just for a particular skilllevel; I believe traders of all types and sizes will find somethingin this book to better their odds of market success."
¡ªCarley Garner, Senior Analyst atDeCarleyTrading.com
KEVIN J. DAVEY is a professional trader and a top-performing systems developer. 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.
Although Kevin has had a great deal of recent success, many of the early years were met with failure. "I remember starting out with a $5,000 account," recalls Kevin, "and within a week or so I had lost about $1,000 trading a moving average crossover system. So, I then decided if my crossover system wasn't working, surely the opposite of that signal would work - a classic 'newbie' mistake. Within another week or two, I had lost another $2,000, or 60% of my bankroll. At that point, I got smart and quit trading for a while."
Bloodied but not defeated, Kevin spent the next few years researching, reading and otherwise devouring all he could about trading. "I probably made every mistake possible, but I ended up learning a lot about the markets and how they work" explains Kevin.
That legwork certainly paid off in a worldwide futures trading contest. In the years from 2005 to 2007, Kevin was usually near or at the top of the leaderboard. And the results at the end of each of those years in this real time, real money contest are self evident:
2005 - 148% return (2nd place)
2006 - 107% return (1st place)
2007 - 112% return (2nd place)
With a background in aerospace engineering and quality assurance, Kevin brings a unique perspective to trading. "In aerospace, the product I worked on had to work 100% of the time, or the engine would fail. That is not a good thing when you are 35,000 feet in the air. Working in a flight critical industry gave me tools, such as statistical process control, six sigma methodologies, design of experiments and continuous improvement, to transfer over into the trading world. As a result, I think I do some things that few, if any, other traders do. Those tools help give me an edge."
Currently, Kevin trades full time, writes trading related articles and gives trading webinars. He is also available for one on one mentoring or consultation. This is in addition to continuously developing new trading systems and strategies. "Markets are ever changing, so my new system development work is a critical part of my success."