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<p>Acknowledgments ix</p> <p>About the Author x</p> <p>Introduction 1</p> <p><b>Part I A Trader’s Journey 7</b></p> <p>Chapter 1 The Birth of a Trader 9</p> <p>Chapter 2 Enough Is Enough 15</p> <p>Chapter 3 World Cup Championship of Futures Trading ® Triumph 23</p> <p>Chapter 4 Making the Leap—Transitioning to Full Time 33</p> <p><b>Part II Your Trading System 41</b></p> <p>Chapter 5 Testing and Evaluating a Trading System 43</p> <p>Chapter 6 Preliminary Analysis 53</p> <p>Chapter 7 Detailed Analysis 61</p> <p>Chapter 8 Designing and Developing Systems 71</p> <p><b>Part III Developing a Strategy 77</b></p> <p>Chapter 9 Strategy Development—Goals and Objectives 79</p> <p>Chapter 10 Trading Idea 83</p> <p>Chapter 11 Let’s Talk about Data 93</p> <p>Chapter 12 Limited Testing 103</p> <p>Chapter 13 In-Depth Testing/Walk-Forward Analysis 115</p> <p>Chapter 14 Monte Carlo Analysis and Incubation 129</p> <p>Chapter 15 Diversification 133</p> <p>Chapter 16 Position Sizing and Money Management 139</p> <p>Chapter 17 Documenting the Process 147</p> <p><b>Part IV Creating a System 153</b></p> <p>Chapter 18 Goals, Initial and Walk-Forward Testing 155</p> <p>Chapter 19 Monte Carlo Testing and Incubation 163</p> <p><b>Part V Considerations Before Going Live 175</b></p> <p>Chapter 20 Account and Position Sizing 177</p> <p>Chapter 21 Trading Psychology 187</p> <p>Chapter 22 Other Considerations before Going Live 195</p> <p><b>Part VI Monitoring a Live Strategy 203</b></p> <p>Chapter 23 The Ins and Outs of Monitoring a Live Strategy 205</p> <p>Chapter 24 Real Time 219</p> <p><b>Part VII Cautionary Tales 233</b></p> <p>Chapter 25 Delusions of Grandeur 235</p> <p>Conclusion 243</p> <p>Appendix A Monkey Trading Example, TradeStation Easy Language Code 247</p> <p>Appendix B Euro Night Strategy, TradeStation Easy Language Format 255</p> <p>Appendix C Euro Day Strategy, TradeStation Easy Language Format 259</p> <p>About the Companion Web Site 263</p> <p>Index 265</p>

<p><b>KEVIN J. DAVEY</b> is a professional trader and a top-performing systems developer. He generated triple-digit annual returns of 148 percent, 107 percent, and 112 percent in three consecutive World Cup Championships of Futures Trading® using algorithmic trading systems. His web site, www.kjtradingsystems.com, provides trading systems, trading signals, and mentoring. He writes extensively in industry publications such as <i>Futures Magazine</i> and <i>Active Trader</i> and was featured as a "Market Master" in the book <i>The Universal Principles of Successful Trading</i> by Brent Penfold (Wiley, 2010). An aerospace engineer and MBA by background, Davey has been an independent trader for over 20 years. Davey continues to trade full time and develop algorithmic trading strategies.</p>

<p>Praise for <b>BUILDING WINNING ALGORITHMIC TRADING SYSTEMS</b></p> <p>"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."<br /> <b>—Dr. Van K. Tharp,</b> author of <i>Trading Beyond the Matrix: The Red Pill for Traders and Investors</i> (Wiley), Founder, Van Tharp Institute, www.vantharp.com</p> <p>"Kevin's book is a good beginner's guide to systems trading, a Trading Computer Strategies 101."<br /> <b>—Bob Pardo,</b> Pardo Capital, author of <i>The Evaluation and Optimization of Trading Strategies</i> (Wiley)</p> <p>"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."<br /> <b>—Andrea Unger,</b> World Cup Championship of Futures Trading® Winner 2008, 2009, 2010, 2012</p> <p>"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."<br /> <b>—Peter Ritchken,</b> Kenneth Walter Haber Professor, Department of Banking and Finance, Weatherhead School of Management, Case Western Reserve University</p> <p>"The winning trader is rare. The quantitative winning trader is even more rare. Kevin Davey's book <i>Building Winning Algorithmic Trading Systems</i> 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."<br /> <b>—Kurt K. Sakaeda,</b> World Cup Championship of Futures Trading® Winner 2000 and 2004</p> <p>"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."<br /> <b>—Carley Garner,</b> Senior Analyst at DeCarleyTrading.com</p>

<p>“This is a great book to get a much better understanding of what in really involved in system development and help on your journey from someone with a lot of real-life trading experience. For those already working with systems, it may challenge some of the approaches you use and help you to become a better system developer and trader. From my perspective, the chance to look over Kevin’s shoulder and see the concepts and full code from some systems he has been using in his own trading alone would be of far more value than the cost of the book.”<b><br /> —Tim Rea, Proprietary systems developer/trader; 1st place winner, World Cup Championship of Futures Trading® 2011</b></p> <p>“Part <i>Reminiscences of a Stock Operator</i> and part <i>Market Wizards,</i> Kevin Davey has written a superb book for the modern trader. Not only does Kevin provide a step-by-step plan on how to develop algorithmic trading strategies but he actually reveals the strategy he used to win The World Cup Championship Of Futures Trading® along with two additional euro currency systems. I have no doubt this will become a popular and often referenced book amongst traders. Readers will find Kevin’s humble and engaging voice easy to follow and grasp. They will also find his personal journey from aerospace engineer to beginner trader, to a championship winning trader and finally to a full time professional trader insightful, entertaining, and inspiring. Wiley should also be congratulated for recruiting a real trader who trades real markets with real money to write a trading book for people aspiring to become real traders. I highly recommend this book to anyone who is serious about developing a successful and sustainable trading career.”<br /> <b>—Brent Penfold, professional trader and author of <i>The Universal Principles of Successful Trading</i> (Wiley 2010)</b></p> <p>“Few trading books on the market today are written by those who actually make their living from trading and those that are frequently suffer from being unintelligible to the layman. Kevin Davey has the authenticity of a real trader and the ability to distill complex ideas into a format that is easy to read and, at times, brutally honest. For those aspiring to trading success, Kevin gives a step by step guide on how to approach systems development as well as outlining many of the pitfalls to avoid and throughout the book he provides a wealth of information and tools that will prove invaluable to novice or expert alike.”<br /> <b>—Michael Cook, Founder, Katmai Capital Advisors; World Cup Championship of Futures Trading® 2007</b></p> <p>“Of all the trading books that I’ve read, this book takes the cake. Kevin Davey brings us a realistic perspective in an industry full of dreamers. I suggest that all traders drop what they’re doing and read the incredibly valuable lessons summed up in this book.  This book is the quickest path for a new trader to stop dreaming and start succeeding.”<br /> —<b>Peter Hagen, Citracado Capital, LLC</b></p>

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