Episode 004 – Kevin Davey

Futures Algo Trading Champion

Join Leo in this captivating podcast interview as he dives deep into the world of trading with the exceptional Kevin Davey, a three-time championship futures trader, and algo trading maestro.

Uncover the fascinating story of how Kevin transitioned from a factory manager to developing his own trading strategy factory.

As a prolific author on algorithmic trading and a mentor to a thriving community of algo traders, Kevin shares valuable insights on the significance of risk management, diversification, and crafting personalized trading strategies to conquer the financial markets.

Don’t miss this opportunity to learn from a true mastermind in the realm of trading!

Key Takeaways

  1. Diversify – Diversification is the closest thing to the holy grail.
  2. Understand frictions – Most strategies look good on paper until you add frictions.
  3. Incubate your babies – Have an incubation period for your strategies. Put the equity curve on a wall and come back to it a year later. Almost all of my students say this has been a lifesaver.
  4. Think about Uncle Sam – Futures trading has a lot of leverage and tax benefits.
  5. Most will be losers – Most of your ideas won’t hold up to scrutiny. Create a strategy factory with rigorous testing using Monte Carlo and walk-forward to quickly find good ones.

Time Stamps

  • [0:00] Introduction
  • [1:18] How Kevin got started
  • [5:50] Kevin’s first strategy
  • [7:43] Backtesting in FORTRAN
  • [8:50] What new algo traders get wrong
  • [11:49] How Kevin won multiple investing championships
  • [19:30] How Kevin builds new trading strategies
  • [25:30] Kevin on diversification and the holy grail
  • [31:42] Why Kevin trades futures
  • [36:57] Becoming an author
  • [42:28] The strategy factory process
  • [55:49] Kevin’s trading community requirements
  • [57:13] Kevin on trading education


You want to do as much testing as you need but as little as possible.

Kevin Davey [21:50]

The goal isn’t to create something that looks great historically, bit’s to create something that look sdecent historically but continues to work about the same in the future.

Kevin Davey [22:40]


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