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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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INTRODUCTION

I wanted to throw up. The bile in my stomach had reached an unsustainable level, but there was no bathroom near me. Speeding down the freeway at 75 miles per hour, with no exit in sight, I’d have to swallow hard and accept my fate. I really wanted to just curl up and die. Well, not exactly. I wanted to vomit first, then curl up and die.

Was it trichinosis from eating pork not cooked to shoe leather consistency, as my Mom always predicted would happen? Nope. An undercooked juicy red hamburger laced with E. coli? Not exactly. It was meat that was the culprit, but in the form of live cattle. Live cattle futures, to be exact. Live cattle, all 40,000 pounds of them, had led to my sudden urge to vomit. Specifically, bovine spongiform encephalopathy, more commonly known as mad cow disease. I didn’t have the disease, but my ill-fated speculative investment did.

This was at the end of December 2003, a month that had started with great personal and professional promise. I recently had been promoted to vice president of quality assurance at Argo-Tech, the midsize aerospace firm I was lucky enough to be part of, before it was bought out by a soulless mammoth corporation. I also had been honored as a “40 Under 40” recipient from Crain’s Cleveland Business magazine—recognized as one of Cleveland, Ohio’s, up-and-coming business stars under the age of 40. My futures trading account was doing pretty well, to the point where I felt confident I knew what I was doing (many times that ...

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