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Building Algorithmic Trading Systems: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading, + Website by Kevin J. Davey

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CHAPTER 3 World Cup Championship of Futures Trading® Triumph

Based on the work I had completed in 2004, I thought I had a viable trading strategy. Of course, I wanted to share my “success” with the world but at the same time not give away the strategy. So I did the next best thing: I entered a public trading contest.

For those of you who have never heard of it, the World Cup Championship of Futures Trading, sponsored by Robbins Trading Company, is the premier worldwide, real money, year-long futures trading contest. It attracts some of the best and brightest traders from around the globe, all matching wits and pitting strategies against each other. It is a high-pressure contest, with results constantly posted for all to see (back in the old days, results were published monthly in trading magazines; now they are updated daily on the World Cup web site: www.worldcupchampionships.com). In 1987, legendary trader Larry Williams turned $10,000 into over $1.1 million in that contest. That gives you an idea of the caliber of traders who competed.

Once I had my mind set on entering the trading contest, I had to make sure my system was good enough. Looking at the performance of past winners, I concluded that I had a reasonable chance of finishing in the top three contestants, as long as I had an annual return of 100 percent or higher. That was actually my goal; it wasn’t to win the contest, since I realized that at the upper end of performance, luck would play a role. I could not count ...

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