Building Winning Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading) 1st Edition, Kindle Edition

I recently purchased Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading) I found the book to be very detailed and true to its title.This book is a comprehensive look at the authors logical and honest comprehensive approach to algorithmic trading. I say logical because even the rank beginner to the experienced trader can learn from his logical stepwise approach. This isn't a book that bogs the reader down with mathematical formulas but clearly illustrates important concepts that must be understood to follow the authors thought process.What i appreciate are the clear lessons learned that are shared throughout the book. I find it rare that someone of his caliber( he is someone you can at least attempt to do due diligence on, a real algorithmic trader with verifiable multi-year experience with his own real money accounts generating over 100% annual returns ) would share not only his success but also his many failures that led to his growth and development as a trader. I found this a breath of fresh air given the number of books and educational content produced by people who flat out don't trade real money or hide the fact that they are so confident in their methods that all they can do is trade sim instead of real money and have a multitude of excuses of why they don't have any verifiable performance yet can talk a good sales game selling you on their confidence in their methods.Well back to the book. It is my belief that if one applies the lessons learned that one can develop good trading system development habits that can increase the odds of finding and deploying a system that has a chance of surviving the markets and by studying the lessons learned potentially saving thousands of dollars in the process of becoming a successful systematic trader. Unfortunately some of the readers like myself will recognize many of the school of hard knocks lessons learned the hard and expensive way.The book is surprisingly complete covering the development process in detail with very good illustrations to the real world monitoring process and illustrates several scenarios that every automated algorithmic trader is likely to face. Throughout the book the tone is helpful and positive with the author taking the attitude" this is what I have that works for me ( with thorough explanation of his thought process) your standards/requirement may be different and that's ok"I think this book is a must read for all algorithmic traders and those who have yet to find their algorithmic approach

This book details the steps the author uses to build an algorithmic trading system. The first 50 or so pages of the book detail some of the failed attempts the author had at building a trading system initially. In these sections the author explains what went wrong. Most of the authors trading systems deal with currencies or commodities.There is no sugar coating of how difficult it can be to build a winning system as Davey says he will often test up to a 100 strategies before finding a great one. The middle of the book gets into the heart of testing a system. Different types of testing such as historical back testing, out-of-sample testing, walk-forward testing, and real-time testing are explained. There is a distinction made about which types of tests work practically, which are effectively useless, and which the author likes the best. These different evaluations of testing were useful to me.Common pitfalls are discussed such as commissions per trade, slippage, and taxes. The author is clear about how big an impact these can have on trading. Many examples are shown how a system can do well in simulation but then fail will real money on the line.I found the parts about expected value to be well written and clear. Sections about money management and position sizing were also described well. Davey has a clear passion for this subject of trading systems.If you have ever thought to build a trading system or are working on one, this book will be immensely useful.

To echo the sentiment of another reviewer, I would have given the book 5 stars if the title was a little clearer to the actual content of the book. However, don't let that dissuade you from considering this book as an invaluable asset to your reference library on trading. The book covers an the methodology of a real-money trader as to how to evaluate, test and statistically analyze any trading system that you have already, or will develop. The book doesn't talk about the nuts and bolts of systems, but rather more importantly, how to take an idea/system and approach the process of validating whether or not it is worth considering as a potentially profitable system. Many traders only go as far as tweaking variables until their back testing curve fits the period of data perfectly and then think that they've got it figured out. Kevin, take a multi-tiered process to approaching the validation of his trading strategies. How to separate the wheat from the chaff, then drills down deeper with other analysis steps to see if it passes muster, and by what criteria he uses to determine that. From his experience, only a few strategies out of perhaps 100 make it through to the final steps in the validation process, but it's all a part of determining whether or not your systems have the best possible chance at being profitable.This book has given me a fantastic guideline and metric system to gauge whether or not my systems are garbage, or have high-probably potential to perform well. He describes how to measure these data and how to interpret them. Despite the 4/5 stars I'm giving it for the title, I highly recommend this read. The title should read like, "Testing Winning Algorithmic Trading Systems" instead of "Building" them because it implies that he describes how to build good entries and exits. He doesn't. However, what he does teach in this book is more valuable than just how to assemble entries and exits. It's the statistical probability of how well those system will likely perform in the real world. Knowing that you have a system with a statistically provable edge gives a trader the confidence and incentive to trade better. Thanks to the author for his insight and experience on the matter.

I liked the book. I think I will take his course. No BS. A guy with real experience. And it seems, a successful one.

Do not buy this book if you have already some notions about algorithmic trading, otherwise you will be disappointed as it was the case for me..This book reads like a novel describing the personal story of the author winning a trading contest. However, it contains very little concrete, practical information about how you could do the same in the future...

The book explains algo strategy development process and the pitfalls to be avoided in the process. This is combined with the author's personal story which makes the book more interesting.While is unfair to expect the author to provide set ups with back test for 45 usd, it would have helped if the author had explained the process of end of end testing with couple of more examples (there are two in the book)

The writer share lot of his experience, and provide good guidelines for building Algo.

You really get hooked into algo trading after reading this book! If you have started trading using one or two systems, have not automated them and sill have that lingering feeling something is missing, you have to read this book! It is written in a sort of story-telling mode where the reader, if he or she is or has been a trader, can identify themselves with KJD's journey from discretionary through systematic to automated (algo) trading. More important, it outlines in layman words an entire process of how to create, verify, validate and automate trading strategies.