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

I really wish I had read this book with an open mind years ago - it would have saved me many thousands.In this book, Kevin walks you through the exact mistakes he made (and that nearly every trader inevitably makes), so you don’t have to repeat them. With over 30 years of real-world experience, he really brings some insight to the table.But what truly sets this book apart from all the others I have read is a complete, end-to-end blueprint for strategy and portfolio development. From the idea to strategy creation, walk-forward testing, incubation, and eventually live trading - Kevin covers every detail. This is the process he uses. You're free to follow his approach step by step or simply borrow the pieces that fit your own 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 can only add to the positive reviews this book has already received. If you're looking for a resource to help you build (or refine your process of building) trading strategies, this book is an excellent read.Having followed Kevin's webinars and writings over the past few years, I've always been impressed with his humility. He's quite honest about the realities of trading and that honesty extends into this book. Many trading resources are quick to highlight the big potential gains in trading. However, within the first few pages of Kevin's book, he has no qualms in disclosing his losses. This "warts and all" approach is not a slick sales pitch telling you how to make a million dollars overnight but a balanced description of the highs and lows of trading, complete with a proven methodology that will give you a good road map to get you started or help you critically review your own methods if you're already trading.Of all the trading books I've read over the years, this is definitely one of the best.