Algo Trading Cheat Codes

Book Summary

Kevin J. Davey’s Algo Trading Cheat Codes distills decades of trading into 57 practical tips for building better algorithmic systems. Backed by millions of backtests, Davey shares proven techniques to streamline strategy development, manage risk, and adapt to shifting markets. Ideal for stock traders seeking systematic edges.

Key Concepts:
Davey covers optimal bar sizes (120-minute bars for breakouts), reward-to-risk ratios, and mean reversion tactics. He shows how to incorporate macro trends (bull/bear), use robust exits, and protect against market shocks. Key lessons: avoid overfitting, prioritize drawdown over profit, and test rigorously with out-of-sample data. Real-world application: Use these for stocks by coding breakout strategies on platforms like TradeStation, factoring in slippage.

Why It’s a Must-Read:
This book cuts through algo complexity with actionable “cheat codes.” Traders save time, avoid common pitfalls, and build durable systems. Takeaways: Test small bars for false breakouts, use walk-forward testing, and keep strategies simple for consistent stock market gains.