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Professional Automated Trading: Theory and Practice

by Eugene A. Durenard (2013)

Quick summary -- an in-depth PhD-level extended summary (10-30 pages) for this book is coming soon.

Professional Automated Trading: Theory and Practice

By Eugene A. Durenard

Quick Summary

A comprehensive guide to building professional-grade automated trading systems, covering the full spectrum from trading philosophy and system design through implementation, testing, and deployment. Eugene Durenard addresses the business of systematic trading, including profitability analysis, product design, the trading factory concept, marketing and distribution, and the psychological challenges of trusting automated systems.

Executive Summary

"Professional Automated Trading" approaches systematic trading as both an intellectual discipline and a business. Durenard covers the philosophy of trading (mechanism vs. organism, arbitrage, reaction vs. proaction), the business aspects (profitability, track records, product design, the trading factory, capital requirements), and the psychology of automated trading (trusting the system, managing drawdowns, peer pressure). The book discusses the historical evolution of systematic trading from candlestick analysis in 17th-century Japan to modern FPGA-based systems in Chicago. Technical topics include signal generation, execution algorithms, risk management, portfolio construction, and backtesting methodology. The treatment balances theoretical foundations with practical implementation concerns, making it suitable for both aspiring system developers and established practitioners seeking to professionalize their operations.

Key Concepts

  1. Trading as a Business -- Systematic trading requires the same business discipline as any enterprise
  2. The Trading Factory -- Infrastructure, processes, and quality control for production-grade trading
  3. Two Viable Paths -- Mean reversion and trend following as the two fundamental systematic approaches
  4. Trust and Continuity -- The psychological challenge of maintaining confidence in automated systems during drawdowns
  5. Critical Mass -- The minimum capital, infrastructure, and operational capacity needed for viable systematic trading

Critical Assessment

Strengths

  • Treats systematic trading as a complete business, not just signal generation
  • Addresses practical operational and psychological challenges
  • Balances theory with implementation
  • Covers the full lifecycle from design through deployment

Limitations

  • Some technical details may be insufficient for implementation without additional resources
  • Market microstructure has continued to evolve rapidly
  • Limited coverage of specific programming languages or platforms
  • Some strategies may require institutional-scale capital

Conclusion

Durenard provides a valuable holistic perspective on professional automated trading that goes well beyond typical algorithmic trading books. The emphasis on trading as a business with operational, psychological, and capital requirements is particularly valuable for aspiring systematic traders.