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

UPDATED January 2023

Discover the favorite trading books, algo trading books, trading psychology trading books and futures trading books of Champion trade Kevin Davey.

Kevin Davey's Algo Trading Books - All 5 Of My Bestselling Trading & Investing Books

Best Algorithmic Trading Books - Serious Books For Serious Algo Traders

Best Trading Books - My Favorite General Trading Books

Best Trading Psychology Books - Great Books For Dealing With Trading Emotions

Best Trading Idea Books - Tons Of Useful Ideas For Algo Testing

Trading Industry Endorsements of Kevin Davey - What Trading Legends And Verified Champion Traders Say

Kevin Davey's Algo Trading Books At Amazon

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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.

Entry and Exit Confessions Of A Champion Trader
Are you looking for solid trading strategy entry and exit ideas? If so, this book is just what you need. This informative guide includes 41 entry ideas, 11 exit ideas, and code in Tradestation format and plain English for each.

Each entry and exit has been used in actual strategies by Champion trader Kevin J. Davey. Also included are detailed steps for how best to incorporate these entries and exits in your own trading. Start building strategies today with these fully described entries and exits!

Introduction To Algo Trading
Are you interested in algorithmic trading, but unsure how to get started? Join best selling author and champion futures trader Kevin J. Davey as he introduces you to the world of retail algorithmic trading. In this book, you will find out if algo trading is for you, while learning the advantages and disadvantages involved.

You will also learn how to start algo trading on your own, how to select a trading platform and what is needed to develop simple trading strategies. Finally you will learn important tips for successful algo trading, along with a roadmap of next steps to take.

Algo Trading Cheat Codes
Algo trading and strategy development is hard, no question. But, does it really have to be so hard? The answer is "NO!" - if you follow the right approach, and get the right advice. Enter Champion Algo Trader Kevin Davey, and his book "Algo Trading Cheat Codes." In this groundbreaking book, Kevin reveals results of his research over millions of backtests. He provides 57 "cheat codes" - tips you can use to build algo strategies faster and with more confidence.

You can go it alone, or you can take advantage of the cutting edge research by one of the world's premier retail algo traders. These "cheat codes" can easily save you significant time and money!

Beginners Stock Market Investing Blueprint
With a little knowledge, you can beat Wall Street at its own game.
Everyone agrees the stock market is the best approach to achieving long-term wealth, but few have known how to unlock its wealth secrets – until now.

Are you ready to join in? No matter what your skill level, or how much time you can devote to stock market investing, this book can help you reach your goals with its revolutionary “Stock Picking Pyramid.” Fully revealed in the book, you will use the pyramid to tailor your investment strategy to your situation – your goals, your investing horizon and your available time.

FREE bonuses: If you have already ordered any of my books, send a copy of your order confirmation to me at [email protected], and I'll send you free bonuses!!

Also, I'll add you to my e-mail list and send you a free mini S&P trading algo - with all code fully disclosed in Tradestation format!

When you buy a book using links on this page, I may earn a small commission.

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Best Algo Trading Books

(that I am not the author of!)

If you want to take your system trading strategies to the next level, reading up on the best system trading books is a great place to start. From essential tips and tricks to recommended resources, these books can provide valuable insights into the world of system trading and algo trading.

Trading Systems 2nd Edition: A New Approach To System Development And Portfolio Optimization

I read the 1st edition of this book a few years ago, and it is one of my favorites. I found a lot of useful tips and techniques that helped me improve how I create algo trading systems. And I spent a lot of time working with the Luxor strategy described in the book, and over the years traded various variations on it. All in all, a really useful book.

Algorithmic Trading: Winning Strategies And Their Rationale

Whenever I need a refresher on mean reversion ideas and strategies, I pop open this book and look at Chapters 4 and 5. This book also discuss intraday momentum strategies, and interday momentum strategies, and ends with a nice chapter on risk management. Definitely a lot of ideas and concepts to think about and evaluate, and that is why it makes my list.

Algorithmic Trading is a comprehensive book written by quantitative analyst Ernie Chan. It covers the essential elements of systematic trading, including performance measurement and optimization, transaction cost analysis, and development of automated trading systems using both traditional technical indicators and modern numerical methods. This book also provides an invaluable guide to building quantitative trading strategies tailored to your own specific needs.

Advances In Financial Machine Learning

This is a REALLY advanced book, and I am not ashamed to say that a lot of the material went over my head the first few times I read it. Author Marcos Lopez De Prado tackles some very advanced algo trading concepts. I like this book because it gave me new algorithmic trading avenues to approach, and new things to try out. Once you master the basics of algo trading, this is a great expert level algorithmic trading book.

Systematic Trading: A Unique New Method for Designing Trading and Investment Systems

This book by Robert Carver focuses on the development and implementation of trading systems. It examines all aspects of system trading, including creating your own system as well as understanding the risks and rewards associated with it.

The book also contains advanced algorithms and techniques for evaluating backtesting data and optimizing your trading strategies.

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems

High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, written by Irene Aldridge, is an ideal book for traders who are looking for a comprehensive guide to high-frequency trading. It teaches you how to build profitable find and execute trades in the ultra fast-paced modern markets with coherence, accuracy, and precision.

It also explores many of the pitfalls of high-frequency trading and strategies you can use to avoid them. An invaluable resource that no serious trader should be without.

The Evaluation And Optimization Of Trading Strategies

This book is considered by many as a classic in algo system development. I wish I had read it early in my algorithmic trading journey - it would have saved me some time and aggravation. As it happened, I already had my algo strategy building process defined when I first read this book. I found that I did many things "wrong" according to Pardo - such as optimizing for Net Profit (Bob Pardo says NEVER do that). This book challenged my thinking on algo strategy development, and that alone was worth the price.

When you buy a book using links on this page, I may earn a small commission.

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Best Trading Books

Finding the right book on trading systems can be overwhelming, especially with so many options out there. Luckily, I've taken the liberty of narrowing down your choices to just 4 of the best books on trading and trading systems that are sure to give you an edge in the markets.

The Universal Principles Of Successful Trading

Great discussion on why traders lose? Check.
Huge section on money management? Check.
Words of wisdom from expert traders? Check.
This book has all that, and more. There are a lot of useful gems in this book, and you will beome a better trader and understand trading better after you read it.

Market Wizards

If you want to be the best, it helps to understand what some of the world's best traders are doing, how they think about trading, etc. This book does just - it gives you insight into how the best of the best traders operate and think. It will not necessarily give you the Holy Grail in a specific trading method, but it will drive you to improve your own trading. Hearing other traders succeed in trading will definitely inspire you - I know it did for me.

I should point out that this book is the first in a series of Market Wizards books, and they all are useful if you are trying to get into an expert trader's head.

A Trader's First Book On Commodities

I come across a lot of traders who want to trade futures, but who know literally next to nothing about this peculiar market. Broker and market expert Carley Garner really explains the material well in this book. After reading it, you will be in a much better position to understand the vagaries of futures. This is my "go to" book to recommend to brand new futures traders.

High Probability Trading Strategies

High Probability Trading Strategies by Robert C Miner is a must-read book for any modern trader. It offers readers a detailed look into the dynamics and characteristics of successful traders and provides guidance on how to use the most popular technical methods to generate profitable trading strategies. Readers are also taught how to identify their unique risk-reward profile and factor it into their individual financial goals.

This highly regarded trading book will help you become an independent, self-directed trader.

Mastering the Trade

This perennially popular book by John F Carter is a timeless classic that has been indispensable for many futures traders. It is comprehensive, detailed and packed with useful insights on technical analysis and trading strategies.

In addition, the book goes into great depth to explain how to use risk management techniques and develop a personal trading plan. With plenty of practical advice and tips, this book is an invaluable resource for those getting started in futures trading.

Long-Term Secrets to Short-Term Trading

The trading contest success of Larry Williams is unmatched. Heck, he even his Oscar winning actress daughter Michele Williams how to trade, and SHE won the contest too!

So, when Larry gives advice like he does in this book, it is certainly worth reading.

Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications

With this book, John Murphy provides both technical tools and strategies to capitalize on futures trading. This classic book explores the fundamentals of technical analysis which is essential for developing expertise in this field. You'll learn about different charting techniques and trading strategies that can help you become a successful trader.

When you buy a book using links on this page, I may earn a small commission.

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Best Trading Psychology Books

Some people say trading is all about trading psychology. While I do not fully agree with that statement, the fact is without good trading psychology, you are doomed. Good psychology is a MUST! Here are some of my favorite books on that topic.

Trade Your Way To Financial Freedom

This book was a really important one for me in my trading journey. After reading this, I started to understand better that trading was more than just numbers - psychology played a huge role in success or failure as an algo trader. This book, coupled with some of Van's home study courses, really helped me elevate my trading game.

Over the years I have recommended this book to many people. I even let one person (my cousin maybe?) borrow it - and guess what? Whoever borrowed it liked it so much I never got it back! Don't underestimate the power of trading psychology.

Trading In The Zone

It is a shame that Mark Douglas passed away, because he probably had a lot more useful trading psychology to share. But this book is a gem. I wished I had read it earlier in my trading career. It really is a great book for discretionary traders, algorithmic traders and those who do a bit of both or a mixture of the two styles. You will benefit emotionally from reading this book, for sure.

Reminiscences of a Stock Operator

This is one of my all time favorite investing/trading books. Even though a lot of the concepts (stock trading at unregulated "bucket" shops for example) no longer apply, the book has plenty of deeper meaning into human nature and how it relates to trading performance. I try to ground myself as a trader by reading this book at least once a year.

What I Learned Losing a Million Dollars

I've never lost a million dollars trading (thankfully). Don't get me wrong, I do not always make money, but losing like the author did was something special (and not in a good way). I found my stomach churning as I followed the author in his RV, losing money on supposedly "low risk" calendar spreads.

I would have loved to here about the final triumph of the author, who unfortunately perished in the World Trade Center on 9/11. This is a great read, a great but scary story, and it has lessons for every serious trader out there.

The New Trading for a Living: Psychology, Discipline, Trading Tools and Systems, Risk Control, Trade Management

The New Trading for a Living by Alexander Elder is the perfect book for new and experienced traders alike. It provides valuable insights into understanding how emotions can impact trading decisions, implementation of various trading strategies, and proper risk management techniques.

You’ll also learn about market analysis tools such as candlesticks and moving averages, key strategies like breakout trading and swing trading, and tips for managing trades as well as life outside of the markets.

When you buy a book using links on this page, I may earn a small commission.

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Best Books For Trading Ideas

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-Opt 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!

The Honest Guide to Stock Trading

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!

More books for trading ideas: https://kjtradingsystems.com/algo-trading-best.html#bbest02

When you buy a book using links on this page, I may earn a small commission.

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What Trading Experts Are Saying About Kevin Davey

ESTEEMED TRADING LEGENDS PRAISE MY BOOKS

“Kevin Davey was awarded either first or second place three years in a row in a worldwide futures contest. I'm typically not impressed with that sort of performance, but I think Kevin is an exception. Why? First, he published my feedback about winning the contest and what he learned from it. He then goes on to not only give a complete approach to algorithms, but also talks about how your psychology can still sabotage you. Finally, he spends a lot of time talking about objectives and position sizing. This is a very impressive book.”
Dr. Van Tharp, Market Wizard and Author - Trading Beyond the Matrix: The Red Pill for Traders and Investors (Wiley), Founder - Van Tharp Institute, www.vantharp.com (I learned a lot about stops from Van Tharp).

"I have been in the business a long time and have seen many high profile traders come and go, but Kevin Davey has a unique understanding of systems and the markets I have only seen in a few people over the years. Books also don’t impress me, 90% of trading books written today are useless. This book impressed me. He uses a story telling style to tell you his journey of learning how to develop trading systems and using them to make real money. This includes his journey to three consecutive 100% plus performance years in a worldwide trading contest. He explains very advanced topics in a conversational style, in an easy to understand way. This book is a must read for anyone who is interested in trading using a systematic approach, and will offer value for anyone from beginners to advance traders. I put this book on my short list of the top 50 most useful books on trading of all time. "
Mr. Murray A. Ruggiero, Jr., Chief Systems Designer at Tuttle Tactical Management, Contributing Editor of Futures Magazine, Vice President of R&D at TradersStudio and author of "Cybernetic Trading Strategies" and "Using Easy Language 9.X." Murray is a big proponent of Equity Curve Trading. RIP, Murray.

“Kevin’s book is a good beginners guide to systems trading, a Trading Computer Strategies 101.”
Bob Pardo, Pardo Capital, author of The Evaluation and Optimization of Trading Strategies (Wiley). Bob is considered the "father" of walkforward testing.

FULL TIME PROFESSIONAL TRADERS BENEFIT FROM MY BOOKS

Andrea Unger Trader

"This book is a must read! It is not a simple list of rules to trade better; it is a journey through the trading life of the author. The author Kevin will let the man Kevin become your friend, sharing his path to becoming a successful trader."

Andrea Unger, Futures Trading Contest Winner 2008, 2009, 2010, 2012

“This is a great book to get a much better understanding of what in really involved in system development and help on your journey from someone with a lot of real life trading experience. For those already working with systems it may challenge some of the approaches you use and help you to become a better system developer and trader. From my perspective the chance to look over Kevin’s shoulder and see the concepts and full code from some systems he has been using in his own trading alone would be of far more value than the cost of the book."
Tim Rea, Proprietary systems developer/trader & 1st place winner Futures Trading Contest Winner 2011

Michael Cook Trader

“Few trading books on the market today are written by those who actually make their living from trading and those that are frequently suffer from being unintelligible to the layman. Kevin Davey has the authenticity of a real trader and the ability to distill complex ideas into a format that is easy to read and, at times, brutally honest. For those aspiring to trading success, Kevin gives a step by step guide on how to approach systems development as well as outlining many of the pitfalls to avoid and throughout the book he provides a wealth of information and tools that will prove invaluable to novice or expert alike.”
Michael Cook, Founder, Katmai Capital Advisors, 1st place winner Futures Trading Contest Winner 2007 and 2014

“Part Reminiscences of A Stock Operator and part Market Wizards Kevin Davey has written a superb book for the modern trader. Not only does Kevin provide a step-by-step plan on how to develop algorithmic trading strategies but he actually reveals the strategy he used to win a worldwide futures trading contest along with two additional euro currency systems. I have no doubt this will become a popular and often referenced book amongst traders. I highly recommend this book to anyone who is serious about developing a successful and sustainable trading career."
Brent Penfold, Professional Trader and author of The Universal Principles of Successful Trading (Wiley 2010)

Kurt Sakaeda Trader

“The winning trader is rare. The quantitative winning trader is even more rare. Kevin Davey's book "Building Winning Algorithmic Trading Systems" is the rarest of all gems. It is a book that tells the quantitative trader how to build a quantitative trading system. It should be the text book for all would be quantitative hedge funds. I highly recommend this book to all traders, even those that do not use quantitative methods.”

Kurt K. Sakaeda, Futures Trading Contest Winner 2000 and 2004

"Of all the trading books that I’ve read, this book takes the cake. Kevin brings us a realistic perspective in an industry full of dreamers. I suggest that all traders drop what they’re doing and read the incredibly valuable lessons summed up in this book. This book is the quickest path for a new trader to stop dreaming and start succeeding."
Peter Hagen – Citracado Capital, LLC

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