Building Winning Algorithmic Trading Systems

Full Name
Building Winning Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading

Building Algorithmic Trading Systems shares secrets for developing trading systems that generate triple-digit returns. With both explanations and demonstrations, this book 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. 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.

"Kevin Davey was awarded either first or second place three years in a row in the World Cup Championship of Futures Trading®. I'm typically not impressed with that sort of performance, but I think Kevin is an exception. Why? First, he published my feedback about winning the contest and what he learned from it. He then goes on to not only give a complete approach to algorithms, but also talks about how your psychology can still sabotage you. Finally, he spends a lot of time talking about objectives and position sizing. This is a very impressive book."

― Dr. Van K. Tharp, author of Trading Beyond the Matrix: The Red Pill for Traders and Investors (Wiley), Founder, Van Tharp Institute,

"Kevin's book is a good beginner's guide to systems trading, a trading Computer Strategies 101."

― Bob Pardo, Pardo Capital, author of The Evaluation and Optimization of Trading Strategies (Wiley)

"This book is a must read! It is not a simple list of rules to trade better; it is a journey through the trading life of the author. The author Kevin will let the man Kevin become your friend, sharing his path to becoming a successful trader."

― Andrea Unger, World Cup Championship of Futures Trading® Winner 2008, 2009, 2010, 2012

"Successful technical traders believe they have skills that allow them to beat the market. But are these traders really skillful or are they just lucky? This book details the experience of a successful trader who has devoted significant time to designing dynamic trading strategies that attempt to exploit market inefficiencies. Perhaps it is traders like these that drive markets towards efficiency, or perhaps these traders just have a deeper understanding of markets and human psychology and therefore are able to capture some rents. The debate on market efficiency will continue to rage. In the meantime, perhaps we can learn from this journey of a successful trader."

― Peter Ritchken, Kenneth Walter Haber Professor, Department of Banking and Finance, Weatherhead School of Management, Case Western Reserve University

"The winning trader is rare. The quantitative winning trader is even more rare. Kevin Davey's book Building Winning Algorithmic Trading Systems is the rarest of all gems. It is a book that tells the quantitative trader how to build a quantitative trading system. It should be the textbook for all would-be quantitative hedge funds. I highly recommend this book to all traders, even those that do not use quantitative methods."

― Kurt K. Sakaeda, World Cup Championship of Futures Trading® Winner 2000 and 2004

"This book is so much more than systems trading! I've encountered a plethora of trading books, but this book is the first that I've thoroughly enjoyed reading from cover to cover. Through personal accounts, he offers a candid, responsible, and highly colorful tour of the futures markets and system building. This book is not just for algo traders, nor is it just for a particular skill level; I believe traders of all types and sizes will find something in this book to better their odds of market success."

Carley Garner, Senior Analyst at