Building Winning Algorithmic Trading Systems: A Trader's by Kevin Davey

By Kevin Davey

"Award-winning dealer Kevin Davey explains how he advanced from a discretionary to a structures dealer and commenced producing triple-digit annual returns. An inveterate platforms developer, Davey explains the method of producing a buying and selling proposal, validating the assumption via statistical research, atmosphere access and go out issues, checking out, and implementation available in the market. alongside the way in which, Davey presents insightful counsel culled  Read more...

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Extra resources for Building Winning Algorithmic Trading Systems: A Trader's Journey from Data Mining to Monte Carlo Simulation to Live Trading

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First place was out of the question, as the contest leader, Ed Twardus, was up over 250 percent for the year. With my confidence riding high, I did violate my system toward the end of the year, when I added on to a losing position in coffee. ). So the last two weeks of December I gave back a chunk of equity. Lesson learned again: don’t add to losers! ■ 2006 27 WORLD CUP CHAMPIONSHIP OF FUTURES TRADING ® TRIUMPH After my success in 2005, I realized that I had a good strategy, and if I traded it correctly, without emotion, I’d probably do okay in 2006.

Unwilling to take unfair advantage of anyone, the management offers a game at completely fair odds: flip a coin against the bank and win a dollar on heads, lose a dollar on tails. What will happen over time? Will the game go on forever or will one player eventually clean out the other? One way to visualize this is to imagine the separate moment when the gambler is down to his last dollar. Would you agree that his chance of avoiding ruin is exceedingly small? Now increase the amount you imagine in his pocket and correspondingly reduce the bank’s capital; at what point do you think than gambler’s chance of being ruined equals the bank’s?

Will the game go on forever or will one player eventually clean out the other? One way to visualize this is to imagine the separate moment when the gambler is down to his last dollar. Would you agree that his chance of avoiding ruin is exceedingly small? Now increase the amount you imagine in his pocket and correspondingly reduce the bank’s capital; at what point do you think than gambler’s chance of being ruined equals the bank’s? Yes: when their capital is equal. Strict calculation confirms two grim facts: the game will necessarily end with the ruin of one party—and that party will be the one who started with the smaller capital.

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