Description
Book SynopsisDevelop 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.
Table of ContentsAcknowledgments 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
