BUILDING WINNING ALGORITHMIC TRADING SYSTEMS -- CONTENTS -- ACKNOWLEDGMENTS -- ABOUT THE AUTHOR -- INTRODUCTION -- Who Can Benefit from This Book? -- PART I A Trader's Journey -- CHAPTER 1 The Birth of a Trader -- My Moving Average Debacle -- CHAPTER 2 Enough Is Enough -- Research -- You Can't Lose-Or Can You? -- Averaging Down-Adding to Losers -- The Wild Man Emerges -- Time to Evaluate -- CHAPTER 3 World Cup Championship of Futures Trading® Triumph -- 2005 -- 2006 -- 2007 -- Reflections on the Contest -- CHAPTER 4 Making the Leap-Transitioning to Full Time -- Confidence -- What I Did Right -- What I Did Wrong -- Capital -- What I Did Right -- What I Did Wrong -- Living Expenses -- What I Did Right -- What I Did Wrong -- Family Support -- What I Did Right -- What I Did Wrong -- Home Office Setup -- What I Did Right -- What I Did Wrong -- Trading Strategies -- What I Did Right -- What I Did Wrong -- Brokers -- What I Did Right -- What I Did Wrong -- Free Time -- What I Did Right -- What I Did Wrong -- Taking the Plunge -- PART II Your Trading System -- CHAPTER 5 Testing and Evaluating a Trading System -- Historical Back Testing -- Out-of-Sample Testing -- Walk-Forward Analysis -- Real-Time Analysis -- CHAPTER 6 Preliminary Analysis -- CHAPTER 7 Detailed Analysis -- What Is Monte Carlo Analysis? -- Inputs to Monte Carlo Simulator -- Limitations of the Simulator -- Simulator Output -- Starting Equity -- Risk of Ruin -- Median Drawdown -- Median Profit, Median Return -- Return/Drawdown -- Prob > 0 -- Summary -- CHAPTER 8 Designing and Developing Systems -- Isn't It All Just Optimizing? -- PART III Developing a Strategy -- CHAPTER 9 Strategy Development-Goals and Objectives -- CHAPTER 10 Trading Idea -- How Will You Enter a Market? -- How Will You Exit a Market? -- What Markets Will You Trade? -- What Type of System Do You Want?.

What Time Frame/Bar Size Will You Trade? -- How Will You Program the Strategy? -- CHAPTER 11 Let's Talk about Data -- How Much? -- Pit or Electronic Data? -- Continuous Contracts -- The Impact of Electronic Markets -- Testing with Forex Data -- Summary -- CHAPTER 12 Limited Testing -- Entry Testing -- Fixed-Stop and Target Exit -- Fixed-Bar Exit -- Random Exit -- Entry Evaluation Criteria -- Exit Testing -- Similar-Approach Entry -- Random Entry -- Exit Evaluation Criteria -- Core System Testing -- Monkey See, Monkey Do -- Test 1: "Monkey Entry" -- Test 2: "Monkey Exit" -- Test 3: "Monkey Entry, Monkey Exit" -- Time Frames -- Monkey Testing-Example -- CHAPTER 13 In-Depth Testing/Walk-Forward Analysis -- No Parameters -- A Walk-Forward Primer -- Walk-Forward Inputs -- In Period -- Out Period -- Fitness Function -- Net Profit -- Linearity of Equity Curve -- Return on Account -- Anchored/Unanchored -- Running the Analysis -- Put the Walk-Forward Strategy Together -- CHAPTER 14 Monte Carlo Analysis and Incubation -- Incubation -- Evaluating Incubation -- CHAPTER 15 Diversification -- Designing with Diversification in Mind -- Measuring Diversification -- Daily Return Correlation -- Linearity of Equity Curve -- Maximum Drawdown -- Monte Carlo, Return/Drawdown -- CHAPTER 16 Position Sizing and Money Management -- No Optimum Position Sizing -- Risk and Reward Are a Team -- Position Sizing Can Be Optimized -- Losing Systems Cannot Become Winners -- Winning Systems Can Become Losers -- The Fantasy of Size -- Short Term-Go for Broke -- No Position Sizing = No Good! -- Strategy, Then Position Size, or Strategy and Position Size Together? -- Positioning Size-Single System -- Positioning Size-Multiple Systems -- CHAPTER 17 Documenting the Process -- Trading Goals -- Trading Idea -- Limited Testing -- Walk-Forward Testing -- Monte Carlo Testing.

Incubation Testing -- Diversification Check -- Position-Sizing Check -- Final Notes -- One Final List -- PART IV Creating a System -- CHAPTER 18 Goals, Initial and Walk-Forward Testing -- Developing a New Strategy -- Limited Testing -- Walk-Forward Testing -- CHAPTER 19 Monte Carlo Testing and Incubation -- Euro Day Strategy -- Euro Night Strategy -- Euro Day and Night Strategy -- Incubation -- Are Results Similar? -- Final Information -- Position Sizing -- Correlation with Other Strategies -- Monte Carlo-Consistency -- Eliminating Big Days -- Outlier Days -- PART V Considerations before Going Live -- CHAPTER 20 Account and Position Sizing -- When to Quit -- Minimum Funding Size -- Position Sizing -- Unequal Position Sizing -- CHAPTER 21 Trading Psychology -- When to Begin Trading -- When to Quit -- CHAPTER 22 Other Considerations before Going Live -- Accounting, Trading Brokers -- Automation, Unattended, VPS, Where Are Orders Kept? -- Backup Plans -- To Automate or Not to Automate? -- Attended, Unattended? -- VPS -- Where Orders Are Kept -- Rollover Considerations -- Real World-What Your Actual Trading Account Sees -- Strategy World-What Your Strategy, Acting on a Back-Adjusted Continuous Contract, Thinks Is Happening -- Method 1: Quick Roll (Most Expensive Typically) -- Method 2: Leg in Roll (Cheapest Method Typically if Done Correctly) -- Method 3: Exchange Supported Spread Roll (Cost Usually between Methods 1 and 2) -- PART VI Monitoring a Live Strategy -- CHAPTER 23 The Ins and Outs of Monitoring a Live Strategy -- How to Build an Equity Curve (and a Drawdown Curve, Too!) -- Equity Curve -- Drawdown Curve -- Monthly Summary Chart -- How to Use This Graph -- Tracking Expected and Actual Performance -- CHAPTER 24 Real Time -- Four-Week Review-September 13, 2013, End Date -- Update after Week 7 -- Week 8 Review -- Week 9-Automated Trading Issues.

Week 9-Limit Order Fills (October 28, 2013) -- Week 12 Review -- Week 13-Time Limit Review -- Week 15 Review -- Future Reviews -- PART VII Cautionary Tales -- CHAPTER 25 Delusions of Grandeur -- Don Demo -- Gus the Guru -- Paul the Predictor -- Cal the Complication King -- Pay Me Peter -- Frank Five Hundred -- Billy the Boaster -- Connie the Compounder -- Ian versus the Illuminati -- Suki the Spinner -- Paolo the Plagiarizer -- Slick Sam -- The Delusion Conclusion -- CONCLUSION -- APPENDIX A Monkey Trading Example, TradeStation Easy Language Code -- Strategy 1: Baseline Strategy (No Randomness) -- Strategy 2: Random Entry, Baseline Exit Strategy -- Strategy 3: Baseline Entry, Random Exit Strategy -- Strategy 4: Random Entry, Random Exit Strategy -- APPENDIX B Euro Night Strategy, TradeStation Easy Language Format -- APPENDIX C Euro Day Strategy, TradeStation Easy Language Format -- ABOUT THE COMPANION WEBSITE -- INDEX -- EULA.