Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets
$27.39
| Author(s) | |
|---|---|
| Format |
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| Pages |
239 |
| Published Date |
2015 |
In Algorithmic Trading Systems, you will Discover an advanced trading strategy for the futures markets. Trade multiple futures markets such as the E-mini S&P, Crude Oil, Euro Currency, and DAX. Advanced techniques include multiple exit strategies and trend filtering. We challenge the Lies of Wall Street that favor your broker more than you with our Trading System Principles. “You can’t go broke taking profits” (indeed you can!) and “Don’t let a winning trade turn into a losing trade” (not always true) are two biased trading “pearls” that can hurt your trading account if they aren’t applied correctly.
Introduction:
“Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets” is a practical automated trading systems book. We reveal the open code in the book and the exact algorithms we use in the book are available for download from the companion website. The code for both Tradestation and NinjaTrader can be downloaded. Instructional videos are also included on the companion website. This is one of the more “hands on” trading systems books you will read since it includes the code for multiple platforms. The Tradestation EasyLanguage code can also be use in MultiCharts while NinjaTrader uses C# and .Net in the NinjaScript editor. I highly recommend using one of these platforms while reading this book. Chapter 16 includes the details on how to access the website and videos as well as the links for the trading platforms.
This book uses a straight forward and direct approach for communicating the details of algorithmic trading systems. We don’t use fancy theoretical formulas to talk about the market but take a practical approach to what I have found works best in the markets after 20 years of research and trading. When studying top traders and market wizards, most cite a simple approach to the market and discovering market inefficiencies based on market observations.
We start in Chapter 2 by building on our book “Seven Trading Systems for the S&P Futures” published in 2010. In “Seven Trading Systems for the S&P Futures”, basic gap strategies were developed as we discussed trading systems specifically for the E-mini S&P futures using the Tradestation Platform. In “Algorithmic Trading Systems” we expand the discussion to additional trading platforms and additional markets including the German Bund and 24 hour markets such as the Euro Currency. We discuss how to find gap patterns and strategies for 24 hour markets by using Custom Sessions.
In Chapter 4, we introduce a new pattern that provides us with a trading opportunity after the gap has been filled. Sometimes a Gap Fill can happen quickly and is done within the first few minutes of trading. If trading gap fills is the only strategy you are using, your trading could be done for the day. This new pattern provides additional opportunities in the market after the gap fill. We reveal the best way to trade this strategy using either stop or limit entry orders in the E-mini S&P, DAX, Euro Currency, and Crude Oil.
In the middle of the book, starting in Chapter 8, we offer a detailed explanation of Trading System Principles that are very important in our strategy development. We talk about how to interpret famous Wall Street trading axioms such as, “You can’t go broke taking profits” (indeed you can!) and “Do not let a winning trade turn into a loser”. We challenge these “pearls of wisdom” and explain common misconceptions about trading systems principles that are tricky to apply and understand when developing trading systems. We take a look at how to test limit orders and how to set stop losses and profit targets.
Towards the end of the book, starting in Chapter 14, we add advanced techniques to our new pattern by discussing multiple exit strategies and multiple trend filtering rules as well as some coding techniques in Chapter 15. Gap strategies offer one of the best examples of how trading psychology works in the market and provides us with a great basis for the stability behind our trading systems. Gaps can quickly reverse at the open and fill the gap by moving to the previous day’s close and then, once the gap has been filled (or almost filled), the market can then reverse again and go in the original direction of the gap. There are different groups of traders ranging from floor/exchange based traders, to large speculators, to the retail trader all who react at different price points with the goal of capturing short term trends during the day based on different support and resistance points that include the opening and closing values for which gap patterns are based on.
This book is written for traders who are interested in automated trading systems using a specific set of rules or algorithm. The content is technical and includes specific rules from trading systems as well as advanced programming code. We believe as traders it is important to have a very well defined approach to trading beyond just a general indicator based method. There are many methods that are shared and sold in the trading world and in trader education courses, but without an exact set of rules that can be converted into an automated trading system, it can be very difficult to achieve the same results as another trading “pro” who shares an indicator method that requires individual interpretation. It is not possible to actually determine if those indicator based methods actually work or if you fully understand them the way they are being taught without converting those “specific rules” to a trading system. I see many good ideas and methods that I have programmed into an automated trading system and back tested and the results do not hold up. The author of those methods may be a successful and profitable trader with good intentions but uses additional subconscious inputs from the market to determine exactly when to employ each method. Unless you can take all the same trades, it can be difficult to get the same results.
Contents:
- GAP FILLS IN THE EURO CURRENCY
- GAP FILLS IN THE GERMAN BUND
- GAP FILL AND REVERSE
- GAP FILL AND REVERSE IN THE DAX
- GAP FILL AND REVERSE IN CRUDE OIL
- GAP FILL AND REVERSE IN THE EURO CURRENCY
- IMPORTANT TRADING SYSTEM PRINCIPALS
- HOW TO TEST TRADING SYSTEMS WITH LIMIT ORDERS
- HOW PROFIT TARGETS AFFECT TRADING PERFORMANCE
- BIG PROFIT TARGETS
- GOING BROKE TAKING PROFITS
- HOW STOP LOSSES AFFECT TRADING PERFORMANCE
- MULTIPLE EXIT STRATEGIES
- TESTING DIFFERENT ENTRY TECHNIQUES & LEARNING CODE
- WEBSITE AND CODE
- CONCLUSION
Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets By David Bean pdf
15 reviews for Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets
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Nash Harrell (verified owner) –
The web page that appears in the book to download the codes is not available, so automatic systems that are discussed in the ebook can NOT be obtained.
Kara Lucas (verified owner) –
The text is full of “Object reference nof found” due to bad linking between content and index. Almost 50% of the pages are screenshots or source code. The source code for the strategies cointains deliberate errors in order to force you to subscribe ($$$) to the author’s page to download a working copy of the code.
The described systems stopped performing after the book publication date. This means that they where overoptimized for the book.
Eve O’Neal (verified owner) –
Good book not for beginners.
Memphis Hodges (verified owner) –
If you are interested in develop automatic trading strategies based on gaps, this book is for you.
I love books like this because they are honest: the author publish code and results, perfectly reproducible.
Not fantastic methods about increadible earnings without any proof of performance, real trading.
Haylee Gill (verified owner) –
This book is not for beginners , strategies are tested and well illustrated .
Eddie Delgado (verified owner) –
This book is targeted toward TradeStation brokerage clients, or users of NinjaTrader, who are looking for system trading inspiration. I am a TradeStation client who has been coding in EasyLanguage for 20 years, and I think this book is very well done. There are no holy grails here, just a few well documented mechanical strategies based on morning gaps that seem to be + expectation based on historical testing. I gave this book 5 stars for the following reasons –
* Although he sells trading systems through his business / website CapstoneTradingSystems.com, he does not use this book as only an advertising teaser like some other trading authors do. There are several fully disclosed and actionable trading systems here.
* The title of the book is perfect, and does not mislead. The contents are exactly what the title proclaims the book to be.
* In my view, the book is as long as it needs to be, but no longer.
* It is accessible to the educated layman, i.e. no calculus here, and no attempts to show off an advanced education. The author does not waste space and energy comparing his ideas to Einsteins relativity, etc.
*** All the systems in the book are available for free download (in TS & Ninja code) by the author via a website & password contained within the book. This is a big deal that really sets this book apart. The download site is well done and contains numerous videos that document how to use the code in the respective platform.
Basically, if you are a system trader who is looking for ideas and code, this book is right in your wheelhouse, and is one of only a handful of books that really deliver in this area.
Well done, & two thumbs up!
Martha Delacruz (verified owner) –
As a TradeStation user, I find this a helpful tool. This book is an easy read and very practical for readers who are current TradeStation users.
The language in the book could be a little overwhelming if you’ve never used TradeStation or NinjaTrader, but if you are current users, this book is must-have!
This book contains over 200 pages of full-color screen shots and step-by-step illustrations on building and understanding strategies in their respective trading platforms.
Halle Watkins (verified owner) –
Good book with practical knowledge and examples that can be replicated by the user – however you need Ninjatrader or Tradestation to execute them. Otherwise, very straight forward and practical. Note that this is not a get rich quick book but rather an explanation of how to develop winning systems and should be used as a means to understand how systems are developed.
Macy Escobar (verified owner) –
I truly enjoyed this book. As TradeStation user, the great benefit is that all strategy code is disclosed. Moreover, the author meticulously describes all settings and custom timeframes nuances. It is a valuable source of ideas for your own strategies.
Chance David (verified owner) –
Great Book, this is definitely not a introductory book. experienced traders, either discretionary or algorithmic should read it to get new trading ideas, plus david shows not only the rules for the system but also the code and how you should set up your platform in order to trade it. BTW, the strategies are real tradable strategies,
From all the trading books that i have read so far, i can say that most of them only talk about trading philosophy and psychology, some of them talk about basic strategies and dont event show statistics, other show statistics but do not show the code. But this book has it all, and I think that every single trading book should be written as this one.
Elisha Medrano (verified owner) –
I learned a tremendous amount from this book. The author does a great job of explaining the basics about automated trading systems and goes over a lot of the pitfalls you can encounter with it. I feel like I gained so much knowledge by reading his book, and I absolutely devoured this book from the moment I first opened it up. He also put a lot of coding examples in there, which helped a lot to get me up and running with trying to do some of my own automated trade programming. I still go back and look at this book a lot!
Augustus Anthony (verified owner) –
Good book for people while went to know more about system trading. I wish the code website is maintained for downloading the code.
Zachariah Kent (verified owner) –
This over 200 page book is full of useful information for the algorithmic trader. It comes with ready to trade strategy codes for both Tradestation/Multicharts and NinjaTrader which can also be downloaded from the authors website.
Five different trade setups in different instruments are well documented and explained. From a simple just gap fill strategy to an advanced gap- and fade strategy with multiple exits and with different trend filters.
The book also covers how to set up your software for proper backtesting and how easy it is to make mistakes and get false results.
What I like most is the chapter about how to add different trend rules. This has made a big difference in my own strategy development.
The book is well worth the money and I give it 5 stars.
Alani Osborne (verified owner) –
Trading Gaps has been proven to be a money making strategy in the stock market so I bought this book to get a better understanding on how it can be adapted to the futures markets. The information presented seems to be a good approach, I won’t not really know until I’m amble to compose an Algo trading bot that can take advantage of the information and techniques presented in this book. The only problem I’m having is that the link to download the NinjaTrader code doesn’t work anymore. I’ve contacted the author to see if there’s an alternative way to get the source code. I’ll post an update once I resolve this issue and have time to test the trading bot.
Maren Enriquez (verified owner) –
This book helps me to test and implement many of my trading ideas in an efficient way. David explains many of the trading rules and logics which are useful in developing and improving my trading strategies. The sections related to setting up Tradestation testing environment solved the problems that I previously encountered.