Building Winning Algorithmic Trading Systems — Kevin J. Davey

A Trader’s Journey From Data Mining to Monte Carlo Simulation to Live Trading

Quick Summary

Learn how to develop your own algorithmic trading systems and test them properly using various evaluation methods (monkey test, monte carlo simulation, limited testing, …) and metrics.

Understand the philosophy behind algorithmic trading systems and transform your ideas into concrete, functional algorithms.

My Thoughts

This book is quite technical and detailed, but in fact covers everything you need to know in order to start developing your algorithmic trading systems.

This book is aimed at people who are just starting out in algorithmic trading, as it covers a lot of the basics. At the same time, however, it will appeal to those with some experience, as it also covers some of the lesser-known but highly effective techniques.

You also need to have some basic knowledge of financial markets and technical analysis to understand this book. In fact, it focuses solely on the algorithmic trading aspect, without going back over the basics of trading using technical analysis.

The author explains the algorithmic trader’s philosophy very well, and even explains the technical and mathematical background using formulas and charts to help you understand.

What’s more, this book is quite well done, allowing you to develop your own algorithmic trading system alongside the reading if you wish.

The author also gives suggestions for timeframes and parameters to use, and talks about alternative implementations.

Although this book is aimed at beginners in algorithmic trading, as I mentioned earlier, the concepts are not that simple. In fact, as you read it, there’s an awful lot you need to know, just about how the financial markets and technical analysis work, in order to get started with algorithmic trading.

Some people start with algorithmic trading even before they understand how technical analysis works, but this book shows that this is not possible. It also shows how complex it is to create an algorithmic trading system that works. It’s not enough to code 2–3 conditions and let the system run.

To Read or Not to Read?

I highly recommend this book if you’re interested in algorithmic trading. It’s a worthwhile read, but make sure you have the necessary prerequisites, i.e. a good knowledge of technical analysis and the financial markets.

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