Algorithmic Trading Systems: Advanced Gap Strategies for the Futures Markets

Build smarter, rule-based trading strategies with the guidance of industry veteran David Bean. Algorithmic Trading Systems is not just another trading book—it’s a hands-on guide for serious futures traders looking to automate their edge. This practical resource reveals proven gap fill and reversal strategies across a wide range of futures markets including the Euro, DAX, Bund, Crude Oil, and E-mini S&P.

With complete code examples in EasyLanguage (for TradeStation/MultiCharts) and NinjaScript (for NinjaTrader), this book empowers traders to move beyond discretionary guesswork. You’ll learn how to create custom trading sessions, design gap-based entry techniques, and implement robust exit strategies—including stop losses, profit targets, and multi-contract exits. Backed by more than 20 years of trading experience, Bean delivers clear, code-driven insights that enable traders to test, refine, and deploy automated systems with confidence.

This book doesn’t just teach what works—it shows how to code it, test it, and manage risk like a pro. Whether you’re new to algorithmic systems or looking to enhance your strategy development, Algorithmic Trading Systems is your gateway to smarter, data-driven trading.

What You’ll Learn

• How to build automated trading systems for futures markets
• Gap fill and reverse patterns and how to trade them
• Multi-timeframe strategy design (e.g. combining daily and intraday charts)
• Advanced techniques for managing exits, including multiple exit strategies
• How to properly backtest and deploy strategies with limit orders
• Custom session creation for 24-hour and European markets
• How to interpret performance metrics and drawdowns effectively

Key Benefits

• Includes open-source code for TradeStation and NinjaTrader
• Covers a wide range of futures instruments with real performance reports
• Written by a veteran system developer with decades of trading experience
• Helps traders avoid common pitfalls like over-optimization and poor stop-loss placement
• Provides lifetime access to companion website with videos and updates

Who This Book Is For

This book is ideal for:

• Intermediate to advanced traders looking to automate their strategies
• Futures traders interested in gap-based systems
• Traders seeking performance-tested systems with downloadable code
• Those pursuing careers in trading firms needing C#/NinjaScript exposure
• Technical traders who value quantifiable, rule-based strategies

Table of Contents

1. Introduction
2. Gap Fills in the Euro Currency
3. Gap Fills in the German Bund
4. Gap Fill and Reverse
5. Gap Fill and Reverse in the DAX
6. Gap Fill and Reverse in Crude Oil
7. Gap Fill and Reverse in the Euro Currency
8. Important Trading System Principles
9. How to Test Trading Systems with Limit Orders
10. How Profit Targets Affect Trading Performance
11. Big Profit Targets
12. Going Broke Taking Profits
13. How Stop Losses Affect Trading Performance
14. Multiple Exit Strategies
15. Testing Different Entry Techniques & Learning Code
16. Website and Code
17. Conclusion