Building Algorithmic Trading Systems - A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading. + Website

Develop your own trading system with practical guidance and expert adviceIn 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 algor ithmic 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 systemMarket 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 ad vice.

Inhaltsverzeichnis:

Acknowledgments ixAbout the Author xiIntroduction 1PART I A TRADER'S JOURNEY 7CHAPTER 1 The Birth of a Trader 9CHAPTER 2 Enough Is Enough 15CHAPTER 3 World Cup Championship of Futures Trading Triumph 23CHAPTER 4 Making the Leap--Transitioning to Full Time 33PART II YOUR TRADING SYSTEM 41CHAPTER 5 Testing and Evaluating a Trading System 43CHAPTER 6 Preliminary Analysis 53CHAPTER 7 Detailed Analysis 61CHAPTER 8 Designing and Developing Systems 71PART III DEVELOPING A STRATEGY 77CHAPTER 9 Strategy Development--Goals and Objectives 79CHAPTER 10 Trading Idea 83CHAPTER 11 Let's Talk about Data 93CHAPTER 12 Limited Testing 103CHAPTER 13 In-Depth Testing/Walk-Forward Analysis 115CHAPTER 14 Monte Carlo Analysis and Incubation 129CHAPTER 15 Diversifi cation 133CHAPTER 16 Position Sizing and Money Management 139CHAPTER 17 Documenting the Process 147PART IV CREATING A SYSTEM 153CHAPTER 18 Goals, Initial and Walk-Forward Testing 155CHAPTER 19 Monte Carlo Testing and Incubation 163PART V CONSID ERATIONS BEFORE GOING LIVE 175CHAPTER 20 Account and Position Sizing 177CHAPTER 21 Trading Psychology 187CHAPTER 22 Other Considerations before Going Live 195PART VI MONITORING A LIVE STRATEGY 203CHAPTER 23 The Ins and Outs of Monitoring a Live Strategy 205CHAPTER 24 Real Time 219PART VII CAUTIONARY TALES 233CHAPTER 25 Delusions of Grandeur 235Conclusion 243APPENDIX A Monkey Trading Example, TradeStation Easy Language Code 247APPENDIX B Euro Night Strategy, TradeStation Easy Language Format 255APPENDIX C Euro Day Strategy, TradeStation Easy Language Format 259About the Companion Web Site 263Index 265