Building Winning Algorithmic Trading Systems: A Trader’s Journey From Data Mining to Monte Carlo Simulation to Live Trading (Wiley Trading)

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It only takes a system to rake in insurmountable profit, and this authoritative guide shares the prerequisites in developing trading systems capable of such. Critically-acclaimed professional trader Kevin Davey explained and demonstrated a systematic process composed of idea validation and generation, entry and exit placements, system mock-ups, and live trading implementation. All of which are necessary to produce a viable trading system that will maximize profitability. Rules are presented in a comprehensive manner that anyone will easily understand system allocation, idea assessment, and evaluation.

Building Algorithmic Trading Systems administers education on system development with respect to market ambiguity and the sense of temporariness of the ideal algorithmic function. Above all these, a reader may come to understand:

  • How to develop a system capable of producing a high volume of profit
  • How to create a strategy derived from an algorithm for any trading idea 
  • Evaluate the effectiveness of the system using historical statistics and current market figures 
  • Mine market information that may serve as a starting ground for the new system 


Kevin J. Davey is a renowned figure in a field of trading and systems development. He authored a total of four books with a prime focus on trading and investment. He is considered a pioneer that introduced practices in algorithmic trading system development. In addition to this, he regularly writes column articles for “Technical Analysis of Stocks and Commodities” magazine. With over three decades of experience in the field of investment and trading, Davey is also an aerospace engineer. 


  1. Acknowledgments
  2. About the Author
  3. Introduction
  4. PART 1- A Trader’s Journey
  1. The Birth of a Trader
  2. Enough is Enough
  3. World Cup Championship of Futures Trading Triumph
  4. Making the Leap- Transitioning to Full Time
  5. PART 2- Your Trading System
  1. Testing and Evaluating a Trading System
  2. Preliminary Analysis
  3. Detailed Analysis
  4. PART 3- Developing a Strategy
  1. Strategy Development- Goals and Objectives
  2. Trading Idea
  3. Let’s Talk about Data
  4. Limited Testing
  5. In-depth Testing/Walk-Forward Analysis 
  6. Monte Carlo Analysis and Incubation
  7. Diversification
  8. Position Sizing and Money Management
  9. Documenting the Process
  10. PART 4- Creating a System
  1. Goals, Initial and Walk –Forward Testing
  2. Monte Carlo Testing and Incubation
  3. PART 5- Considerations Before Going Live
  1. Account and Position Sizing
  2. Trading Psychology
  3. Other Considerations before Going Live
  4. PART 6- Monitoring a Live Strategy
  1. The Ins and Outs of Monitoring a Live Strategy 
  2. Real Time
  3. PART 7- Cautionary Tales
  4. Delusions of Grandeur
  1. Conclusion
  2. Appendix A 
  3. Appendix B
  4. Appendix C
  5. About the Companion Web Site
  6. Index 
  7. End User License Agreement