Kevin Davey: Developing an Algorithmic Trading System

Well-known trading system developer Kevin Davey will talk to us remotely from Cleveland.  We will project his presentation and have two way sound using a portable microphone for good interaction. We have held several meetings this way that have worked very well and got an excellent reception from our members.

Kevin Davey (http://www.kjtradingsystems.com) is a private futures, forex and stock index trader based in Cleveland, Ohio. Kevin has been trading for over 20 years.

He placed either 1st or 2nd in the Robbins WorldCup Trading Championship in each of three successive years.

Some topics that Kevin will cover include:

- His own trading history, including his recent successes, and also some earlier wrong turns and losses. How he overcame the latter and how others can avoid them

- The importance of using an Objective Approach

- Back testing, Walk forward testing, Monte Carlo Simulation

- Rule-based Algo development

- Can you achieve actual trading results as good as your testing indicated?

Kevin was recognized as a "Market Master" in the 2010 book "The Universal Principles of Successful Trading: Essential Knowledge for All Traders in All Markets."

You can see some of his latest articles at http://ezinearticles.com/?expert=Kevin_Davey

The January results for his active trading systems are posted at http://www.icontact-archive.com/nSEQkmUVF8t8eZnepxuYvYkcW53enD2I?w=1

With a background in aerospace engineering, Kevin now trades full time, writes trading related articles and gives trading webinars.  He is also available for one on one mentoring or consultation.  This is in addition to continuously developing new trading systems and strategies.

He is also a very active contributor on a number of popular trading forums.

His talk will be very useful for anyone developing or using a trading system or systematic trading approach, or considering doing so.  It will also be of interest to a broader audience interested in systematic trading from any point of view; for example, those interested in buying a trading system or having one traded for them in managed futures.

The meeting is free and open to all, preferably with RSVP, but we have the large combined-room meeting space at the Library, so feel free to bring or invite friends or anyone who might be interested, even without RSVP where that is easier.

6:30 pm  Kevin will talk for three-quarters of an hour or so, then take questions

7:30 pm  Kevin can stay for an extended interaction with our members

8:00 pm  After Kevin has to leave us, we will have ask several of our local members in the meeting room who develop their own systems to add their own critiques

8:30 pm  Planned end of meeting

9:00 pm  Optional informal gathering organized by Dave W. at a nearby restaurant/tavern - all welcome, each on their own tab. Discuss trading systems, or trading, or just socialize with other traders.

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  • A former member
    A former member

    I just sent an e-mail to everyone who provided their info last night. If you don't get it, chances are I misread your e-mail address or made a typo. In that case, just send me an e-mail at [masked]

    Thanks again for klistening to me!

    Kevin

    February 28, 2013

  • A former member
    A former member

    Thanks for attending everyone. I enjoyed it. Here is a link to the recording file:
    http://dl.dropbox.com/u/110089636/2013-02-27%2018.47%20Raleigh%20Trader%20Meetup.wmv

    February 27, 2013

  • Rik R.

    Time well spent

    February 27, 2013

  • A former member
    A former member

    What is the optimal tick setting for profitable trades within your algorithmic systems and have you found intraday trading (scalping) in lower tick ranges to be profitable.

    February 26, 2013

    • A former member
      A former member

      Hi Kurt - Of all the systems I have developed and currently traded (about a dozen), only 1 is an intraday system. Not because I don't like the idea of intraday, but rather because intraday systems are much tougher to develop (at least how I do it). 2 reasons are that commissions and slippage costs add up quickly, and my primary data source (Tradestation) only offers 6 months of tick data. I need more data than that. So, in the end, most of my systems tend to be days to weeks in duration. That does mean significant drawdowns sometimes. THANKS FOR THE QUESTION!

      February 26, 2013

  • Don B.

    Prakash and Kevin and I have also started a thread at http://www.meetup.com/rdutraders/messages/boards/thread/31378052

    for more extensive discussions. That may be the best place to post anything that might turn into a discussion, but brief one-off comments are still welcome here also.

    February 11, 2013

  • Prakash G.

    Hi Kevin,

    I enjoy backtesting,system development so we are in the known territory. I just browsed you site. Here are few questions. May be you can briefly answer here on the forum and then elaborate in the meeting, or discuss exclusively in the meeting. Looking forward for your presentation.
    Regards,
    Prakash. 1. what are your exit strategies for SEF / Congress /Trender? same for all 3 or different? signal based (dynamic) or Entry price based (static)?
    2. How many typical trades the systems takes in a month / year?
    3. what are average hold period for each system?
    4. Does it pyramid in/out or all in/ all out systems?
    5. what are CAR, % max drawdowns, Sharpe ratios of system?
    6. is there correlation between 3 systems? or they are fully independent?
    7. Seasonality part of your systems ?
    8. Isn't optimization is looking for something that we want? And backtesting delivers it, because we asked for it?

    February 11, 2013

    • A former member
      A former member

      Thanks Prakash for the questions. I'll try to give you short answers here, but I only have 1000 character limit. During my talk, I do not plan on discussing these systems, other than as examples of development steps. My talk will really focus on how I develop rule based systems, NOT the systems I sell. Anyhow, for Q1,2,3 and 5, there are different answers for each of the 8 unique strategies in the 3 systems. No two strategies are the same, for diversification. (For anyone who wants this detailed info, just e-mail me at [masked] and I can provide answers +complete performance reports for each strategy.) For Q4, no. For Q6, the correlation between systems is low. I trade all 3 currently, precisely because of diversification from low correlated strategies. Q7, no. Q8, yes, but if done correctly, optimization can lead you to strategies that may work well going forward. Again, I'll gladly address any questions via e-mail. I am looking forward to "meeting" you all!

      February 11, 2013

    • Prakash G.

      Thanks for the reply Kevin. I will send you email later. I agree with your answer on optimization. Backtesters are always blamed for optimization. But I agree with you that, if done correctly, with understanding the pitfalls in optimization, it can be a great tool. and not always we can find what we are looking for via optimization. e.g. Short strategies in stocks. no matter how much we try to optimize, it is extremely difficult to find good short strategies in stocks. Futures, currencies it is a different story. Thanks, Prakash.

      February 11, 2013

  • A former member
    A former member

    If anyone has questions beforehand, please feel free to ask them here. That way, I can be sure to incorporate your question into my material. TAHNKS!

    February 10, 2013

  • A former member
    A former member

    I'll be there virtually!

    February 10, 2013

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