Building Winning Algorithmic Trading Systems Review
Author: Kevin Davey
Subject: Algo Trading
Audiobook: Not available
First Published: 2014
Who’s it for: Traders wishing to build their own algorithmic trading systems
Reputation: Incredibly well respected
The Good: Impeccable pedigree of the author; very readable ‘despite’ the topic; complete guide for any trader to avoid beginner mistakes and build a long term sustainable algo trading portfolio
The Bad: Not a lot. Maybe just that it reveals simply how hard you have to work to be a successful algo trader!
Recommendation: If you want to build trading algos and not lose all your money, then you have to read this book
Buy it HERE
Building Winning Algorithmic Trading Systems Review – Overview
In an industry that is home to a few too many charlatans, and far too many get-rich-quickers, it can be hard to establish one’s credibility as a trading voice that should be heard. What better way to do just that than by winning the World Cup of Futures Trading? Add two second place finishes as well, all within three years, and people will sit up and take notice.
Kevin Davey’s success at the World Cup of Futures Trading from 2005 to 2007 is the stuff of legend and he reveals the exact methodologies he used in Building Winning Algorithmic Trading Systems.
Kevin is happy to reveal not only the specific trading system that won him the Championships, but also the principles and processes that allowed him to achieve success three years running.
But be warned – Kevin does not sugar coat. He makes no effort to spare the reader the reality of hard work, frustration, difficulty and attention to detail that it takes to build a consistently profitable trading algorithm. There is a reason that Kevin has succeeded where so many failed – he is quite clearly willing to go the extra mile to ensure that success.
Breezy Style Masks a Difficult Topic
I read Building Winning Algorithmic Trading Systems while enjoying some winter sun abroad in a friend’s house. They caught a glimpse of the book tucked under my arm just as I was retiring for the night. “Some light bedtime reading then?” they quipped. Their other house guest saw the title and just…groaned…
It would be easy to assume from its title, that this book would be a little on the dry side. Fortunately Kevin has a lightness of touch and the pacing of a natural storyteller that makes it a pleasure to read. He also knows how much is enough detail and usually stops short of overloading the reader with extraneous information, without undermining the utility of the book.
If you are interested in the topic then Kevin’s style will pull you along, initially as he tells his personal story, but then even as he dives into the thick detail of data testing and optimization.
A Full A to Z Text Book in Building Algos
I don’t think that it is a stretch to say that, provided someone had a rudimentary knowledge of trading, this book is as good as a one-volume manual on how to build successful trading algos.
If you are a total beginner to trading then take the time to familiarise yourself with the lingo and basic principles before settling in with this book. But, if you already know your way around the markets then there is enough detail here to take you from complete algo beginner to knowledgeable enough to start building your own systems.
Granted, if you don’t have any coding knowledge at all then this isn’t the place to learn. Kevin does cover a bit of TradeStation EasyLanguage but this isn’t the place to teach a beginner how to code!
Now that other software tools like Trade View allow normal traders to build algos without writing a line of code, it would be superfluous for Kevin to include all of the development training one would need to build algos in Python or C++.
Instead, he focuses on system development. Everything you need to know from idea formulation, to data testing, validation, incubation and live trading.
Kevin’s knowledge comes from his first hand experience. Before winning the World Cup Championship of Futures Trading, he was an unsuccessful trader for many years. He is quite honest about his mistakes along the path to eventual success.
Personally I feel that the true value in this book is the beginner mistakes that he will prevent you from making. There are many conceptual mistakes that pure internal logic will lead you to be trapped by, and only the experience of those who have gone before you can save you from them.
This book will save you from:
- Hindsight bias
- Systems that work in backtesting but lose money as soon as they go live
- Trading aimlessly without a goal
- Wasting time and money on systems that are doomed to fail!
This book will show you how to:
- Find trading ideas
- Build a portfolio of winning systems to ‘smooth’ your equity curve
- Perform Monte Carlo simulation
- Use Walk-Forward testing
- Monitor your live strategies
- Know when to bin losing strategies
- Have a professional approach and win consistently!
It is no exaggeration to suggest that this book could save you years of mistakes, not to mention all the money you won’t waste if you follow his advice!
Building Winning Algorithmic Trading Systems Review – Conclusion
If you have any intention whatsoever of building algorithmic trading systems then you must read this book. It is worth it simply to avoid the beginner mistakes that Kevin outlines. But more than this, he presents an entire framework for building your own consistently successful trading algorithm portfolio, complete with examples.
I can think of nothing more valuable to prospective algo traders.
Buy it HERE.