EP 038: The development process of an algo trading strategy – from objectives to live trading w/ Kevin Davey

Aaron Fifield Podcast 1 Comment


This week on the podcast I have algorithmic trader, Kevin Davey. Who like many guests in the past, he comes from a background in engineering – there’s something about these engineers, they seem to make really great traders…

After getting off to a bumpy start 25 years ago, Kevin has come a very long way. Between 2005 and 2007 Kevin competed in the World Cup of Futures Trading Championship, where he finished in first place once, and second place twice. Each time with returns in excess of 100%!

Kevin is also the author of Building Winning Algorithmic Trading Systems, a book which has been well-received by the trading community and has plenty of 5-star ratings and reviews on Amazon.

During this interview we cover the great focus Kevin places on trading multiple strategies in multiple markets to achieve a smoother equity curve. And he also walks us through his development process for taking an algorithmic strategy from objectives and initial idea, through to total automation. Plus plenty more, and even if you’re not familiar with this side of trading, you shouldn’t have too much trouble keeping up, because Kevin does an excellent job of explaining everything.

Also, I’m going to ask again… If you haven’t already done so, could you please leave a very brief review on the podcast in iTunes while you’re listening. Just go to chatwithtraders.com/itunes, if you’d like to support the show.

“Trading is the hardest way to make easy money.”

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“The simplest things usually tend to work the best going forward.”

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Lessons learnt in this interview:

  • Kevin shares how his trading habits changed when going from part-time trading to full-time trading (after leaving his job in ’08).
  • The advantages of diversifying – trading multiple strategies and multiple markets simultaneously. And why this helps to smooth your overall equity curve.
  • The greatest benefits of trading with an algorithmic approach; ability to evaluate before you start trading etc. Plus the greatest disadvantages; easily over optimizing and curve fitting etc.
  • Kevin explains some of the common terminology used in the algorithmic trading space.
  • The development process of taking an algorithmic strategy from goals and objectives right through to live trading.
  • Why it’s critically important to know when you’ll cease trading a system if it doesn’t work as expected, before you even begin.
  • Adapting an algorithmic approach doesn’t have to be a daunting process – Kevin shares a few first steps.
  • And much, much more…

Links and resources mentioned:

evalutation optimization trading strategies robert pardo

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