Please take a look at his book. I think it will be of great value to the real world of trading.
http://www.amazon.com/Building-Algorith ... 118778987/
"Award-winning trader Kevin Davey explains how he evolved from a discretionary to a systems trader and began generating triple-digit annual returns. An inveterate systems developer, Davey explains the process of generating a trading idea, validating the idea through statistical analysis, setting entry and exit points, testing, and implementation in the market. Along the way, Davey provides insightful tips culled from his many years of successful trading. He emphasizes the importance of identifying the maximum loss a system is likely to produce and to understand that the higher the returns on a system, the higher the maximum loss. To smooth returns and minimize risk, Davey recommends that a trader utilize more than one system. He provides rules for increasing or decreasing allocation to a system and rules for when to abandon a system. As market patterns change and system performance changes and systems that performed spectacularly in the past may perform poorly going forward. The key for traders is to continue to develop systems in response to markets evolving statistical tendencies and to spread risk among different systems. An associated website will provide spreadsheets and other tools that will enable a reader to automate and test their own trading ideas.
Readers will learn:
- The systems Davey used to generate triple-digit returns in the World Cup Trading Championships
- How to develop an algorithmic approach for around any trading idea, from very simple to the most complex using off-the-shelf software or popular trading platforms.
- How to test a system using historical and current market data
- How to mine market data for statistical tendencies that may form the basis of a new system
Davey struggled as a trader until he developed an algorithmic approach. In this book, he shows ...."