On balance expert systems trump human experts, hence the drive to make trading more systematic and mechanical. The problem is that Building Winning Algorithmic Trading Systems, the title of Kevin J. Davey’s new book (Wiley, 2014), can be tough. Davey recounts his sometimes gut-wrenching journey “from data mining to Monte Carlo simulation to live trading” and provides traders with useful information that will help them avoid his mistakes.

The author joins a rather small fraternity of systems developers who have shared their thoughts, for better or worse, with the reading public. I think here—and this list is in no way meant to be exhaustive—of Howard Bandy (Quantitative Trading Systems), Tushar Chande (Beyond Technical Analysis), Urban Jaekle and Emilio Tomasini (Trading Systems), Perry Kaufman (Trading Systems and Methods), Robert Pardo (The Evaluation and Optimization of Trading Strategies), and Thomas Stridsman (Trading Systems That Work).

The strength of Davey’s book is that it covers the entire process of designing, developing, testing, trading, and monitoring a system. It also includes Easy Language code for three sample strategies, and on the password-protected companion website (the password is given in the book) there are five helpful spreadsheets.
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