Kevin Davey's Recommended Futures Trading & Algo Trading Strategy Books

Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading
Develop your own trading system with practical guidance and expert advice
​In this book, award-winning trader Kevin Davey shares his secrets for developing trading systems that generate triple-digit returns. With both explanation and demonstration, Davey guides you step-by-step through the entire process of generating and validating an idea, setting entry and exit points, testing systems, and implementing them in live trading. You'll find concrete rules for increasing or decreasing allocation to a system, and rules for when to abandon one. The companion website includes Davey's own Monte Carlo simulator and other tools that will enable you to automate and test your own trading ideas.
A purely discretionary approach to trading generally breaks down over the long haul. With market data and statistics easily available, traders are increasingly opting to employ an automated or algorithmic trading system―enough that algorithmic trades now account for the bulk of stock trading volume. Building Algorithmic Trading Systems teaches you how to develop your own systems with an eye toward market fluctuations and the impermanence of even the most effective algorithm.

• Learn the systems that generated triple-digit returns in the World Cup Trading Championship
• Develop an algorithmic approach for any trading idea using off-the-shelf software or popular platforms
• Test your new system using historical and current market data
• Mine market data for statistical tendencies that may form the basis of a new system

Market patterns change, and so do system results. Past performance isn't a guarantee of future success, so the key is to continually develop new systems and adjust established systems in response to evolving statistical tendencies. For individual traders looking for the next leap forward, Building Algorithmic Trading Systems provides expert guidance and practical advice.

Written by award-winning quant trader Kevin Davey, Building Winning Algorithmic Trading Systems is an essential guide to algorithmic trading. It presents a systematic approach for designing, testing and executing successful trading systems, empowering you to make smarter decisions in a world of accelerating change. This book includes step-by-step instructions for developing your own trading strategies using real-world data, as well as a detailed examination of traditional and advanced trading models. Whether you’re a professional or beginning trader, this book will provide the theory and strategies needed to take your system trading to the next level.

Beating the Financial Futures Market

I am so happy the author brought this book back to life from an "out of print" condition.  I have been recommending this book for 5+ years now in my Strategy Factory workshop.  When it was out of print, the price for used copies skyrocketed to over $2,000 - in large part to demand from my algo student traders!  I told them it was a great book, but not $2,000 great...

I love this book for a few reasons.  First, there is Tradestation code provided, making it easy to use.  Second, the trading biases the author Art Collins uses are inventive and expandable - meaning you can take the concept of biases, and create your own - very easily.  Finally, this book has a TON of testable ideas - enough to keep you going for a long time.

Smarter Trading: Improving Performance in Changing Markets

I probably could have added any Perry Kaufman book to this list, and it would fit right in.  Perry is a true fountain of wealth to traders with all his books.  I really found his chapter on profit taking (Chapter 5) useful, in addition to his work on smarter trend following (Chapter 8).  Those chapters will give algo traders plenty  of trading strategy ideas to work with.  And that is just 2 chapters!  The rest of the book has a whole plethora of strategy ideas and concepts.  Definitely a great resource when you need ideas.

Another great book by Perry is Trading Systems and Methods, 5th Edition.

​Perry J. Kaufman's Trading Systems and Methods, 5th Edition is a must-have reference for investors who want to help create and manage their trading activity. This book covers a wide range of topics about developing, testing, and deploying successful trading systems for stocks, futures, options, commodities, and forex markets. The 5th edition is extensively updated with the state-of-the-art in system development techniques. It contains complete descriptions of equipment setup and optimization strategies along with guidance on how to develop and analyze technical indicators that provide reliable signals for decision making.

Encyclopedia Of Candlestick Charts

This book is considered the "bible" on candlestick patterns.  It does not disappoint.  I used this book to program candlesticks as the author defines them, and then also to create some variations of those standard patterns - ones that I thought might be useful.  Even though the author Thomas Bulkowski does run tests of the patterns, I think it is best for you to program the patterns and test them yourself.  With the Multi-Walk software that is part of my Platinum Strategy Factory workshop, you can literally test dozens of markets and bar sizes for each pattern, and do it quickly and efficiently.  The trading strategy ideas in this book will keep any algo trader busy for months!
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The Honest Guide to Stock Trading
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Llewelyn James has written two useful books for strategy ideas, and this is one of them.  When I look to build algo trading systems, I don't search out finished strategies; rather, I look for entries and exits I can combine with other ideas, and put it all together into a "Frankenstein" strategy - in effect, creating my own monster.  This book will help you do just that - it will give you ideas and concepts you can translate into algo strategies.  Then of course, comes the hard part - properly testing the strategies!