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Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Training,  -  Kevin Davey  出版时间：Published Online: 20 JUN 2014 08:51PM EST





目录：
PART I A TRADER’S JOURNEY 7
CHAPTER 1 The Birth of a Trader 9
CHAPTER 2 Enough Is Enough 15
CHAPTER 3 World Cup Championship of Futures
Trading®Triumph 23
CHAPTER 4 Making the Leap—Transitioning to Full Time 33
PART II YOURTRADING SYSTEM 41
CHAPTER 5 Testing and Evaluating a Trading System 43
CHAPTER 6 Preliminary Analysis 53
CHAPTER 7 Detailed Analysis 61
CHAPTER 8 Designing and Developing Systems 71
PART III DEVELOPING A STRATEGY 77
CHAPTER 9 Strategy Development—Goals and Objectives 79
CHAPTER 10 Trading Idea 83
CHAPTER 11 Let’sTalk about Data 93
CHAPTER 12 LimitedTesting 103
CHAPTER 13 In-DepthTesting/Walk-Forward Analysis 115
CHAPTER 14 Monte Carlo Analysis and Incubation 129
CHAPTER 15 Diversification 133
CHAPTER 16 Position Sizing and Money Management 139
CHAPTER 17 Documenting the Process 147
PART IV CREATING A SYSTEM 153
CHAPTER 18 Goals, Initial and Walk-Forward Testing 155
CHAPTER 19 Monte Carlo Testing and Incubation 163
PART V CONSIDERATIONS BEFORE GOING LIVE 175
CHAPTER 20 Account and Position Sizing 177
CHAPTER 21 Trading Psychology 187
CHAPTER 22 Other Considerations before Going Live 195
PART VI MONITORING A LIVE STRATEGY 203
CHAPTER 23 The Ins and Outs of Monitoring a Live Strategy 205
CHAPTER 24 Real Time 219
PART VII CAUTIONARYTALES 233
CHAPTER 25 Delusions of Grandeur 235
Conclusion 243
APPENDIX A Monkey Trading Example, TradeStation Easy
Language Code 247
APPENDIX B Euro Night Strategy, TradeStation Easy
Language Format 255
APPENDIX C Euro Day Strategy, TradeStation Easy
Language Format 259
About the Companion Web Site 263
Index 265