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
