Building Winning Algorithmic Trading Systems: A Trader's by Kevin Davey

By Kevin Davey

"Award-winning dealer Kevin Davey explains how he developed from a discretionary to a platforms dealer and started producing triple-digit annual returns. An inveterate structures developer, Davey explains the method of producing a buying and selling concept, validating the assumption via statistical research, environment access and go out issues, trying out, and implementation available in the market. alongside the best way, Davey presents insightful suggestions culled  Read more...

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Extra info for Building Winning Algorithmic Trading Systems: A Trader's Journey from Data Mining to Monte Carlo Simulation to Live Trading

Sample text

By the end of the year, I was up over 100 percent again, which was good enough for second place. Michael Cook, the trader I had been watching in my rearview mirror the last part of 2006, raced past me in 2007, finishing the year up a whopping 250 percent. 4 My Equity Chart, 2007 World Cup Contest Account WORLD CUP CHAMPIONSHIP OF FUTURES TRADING ® TRIUMPH 30 ■ Reflections on the Contest After finishing first or second three years straight in the World Cup of Futures Trading Championship, each time with over 100 percent return, I felt pretty good about my trading.

Occasionally, I had to skip a signal here and there, if I did not have enough available margin. At all times, I tried to trade as “fully loaded” as I could, using up as much purchasing power as I could while still avoiding margin calls. My plan was to take every signal and follow the system as best I could, within the constraints of my available capital. Here is how I performed, and some of my thoughts, in each of the years 2005 through 2007. 1 My Equity Chart, 2005 World Cup Contest Account WORLD CUP CHAMPIONSHIP OF FUTURES TRADING ® TRIUMPH 26 4 to 5 percent, but still it is always nice to begin the year with a bang.

In fact, new developers following the approach suggested by the software will inevitably create an overoptimized, curve‐fit trading system. Such a system will produce a great back test, but will almost never perform well in the real‐time future. So novice DIY developers rank just below trading system vendors on the BS scale. If buying from a vendor is fraught with hazard, and novice DIYers not much better, what options are left? If you are convinced that you have to have someone else provide you with a trading system or signals, using a broker‐supplied system or a Commodity Trading Advisor (CTA) system is a much better approach.

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