Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets
$18.00
Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets examines the development and testing of rule-based futures strategies built around opening gaps. David Bean explores gap fills in the Euro Currency and German Bund, then develops the Gap Fill and Reverse pattern across the E-mini S&P, DAX, Crude Oil, and Euro Currency futures.
The book translates price patterns into explicit trading rules, including session definitions, entry conditions, order types, and exits. Custom sessions provide a framework for identifying gaps in markets that trade nearly around the clock. Platform examples use TradeStation and NinjaTrader, with programming discussions covering EasyLanguage and NinjaScript/C#.
A substantial portion of the book addresses how testing assumptions influence reported performance. Bean examines limit-order fills, slippage, commissions, profit targets, and stop losses. Historical examples illustrate why a high winning percentage or an apparently attractive reward-to-risk ratio does not, by itself, establish a sound trading system.
Later chapters develop multiple-contract exits and configurable trend filters. For technically engaged traders, the book provides a practical research framework for comparing strategy variations and understanding their trade-offs. Its performance examples are historical and hypothetical, positioning the material as a basis for further testing rather than an assurance of future results.
✅ What You’ll Learn
- Define custom trading sessions to identify gap patterns in nearly continuous futures markets.
- Translate gap-fill and gap-fill-and-reverse patterns into explicit entry and exit rules.
- Compare stop-order and limit-order entry techniques.
- Evaluate how historical fill assumptions can differ from live order execution.
- Incorporate slippage and commissions when assessing average trade profitability.
- Analyze how profit targets and stop losses affect drawdown, winning percentage, and net results.
- Structure multiple-contract exits that combine partial profit-taking with an end-of-day exit.
- Test configurable trend filters using price comparisons, indicators, and market internals.
- Follow code explanations to understand and modify strategy conditions.
💡 Key Benefits
- A reproducible research framework: Explicit rules make strategy ideas easier to inspect, test, and compare.
- Greater testing awareness: Execution examples reveal assumptions that can materially alter historical results.
- Cross-market perspective: Applications across equity indexes, currencies, bonds, and energy demonstrate the importance of market-specific behavior.
- Clearer performance interpretation: Discussions connect winning percentage, average trade profit, transaction costs, and drawdown.
- A foundation for customization: Programming examples support further investigation of entry filters and exit combinations.
👤 Who This Book Is For
- Intermediate to advanced futures traders seeking a systematic approach to intraday gap patterns.
- Algorithmic traders researching rule-based entries, execution assumptions, and exit design.
- TradeStation and NinjaTrader users comfortable studying platform settings and programming examples.
- Experienced discretionary traders interested in converting market observations into testable rules.
📚 Table of Contents
- Introduction
- 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
Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets By David Bean
| Author(s) | |
|---|---|
| Product Type | Ebook |
| Format | |
| Skill Level | Intermediate to Advanced |
| Pages | 239 |
| Publication Year | 2015 |
| Delivery | Instant Download |
15 reviews for Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets
Only logged in customers who have purchased this product may leave a review.
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.