Get one of those pager sized GPS SMS transmitters with a prepaid sim card that you can activate remotely, and a 12ga pump shotgun. When the car is stolen, call the police with the location and say you are heading there now to recover your stolen property and you are armed for your safety. They will be there before you and have your car recovered guaranteed.
Most newer cars have electronics (RFID tags?) in the keys that are extremely effective. The car is basically useless and impossible to start without a programmed key and the signal exchange only occurs in the space of a few inches as you enter the key into the ignition so you can't really intercept or hack it.
The thing to be concerned about is pros who use flatbeds or box trucks that can wench and drag your car onto the truck in just a few seconds, in that case you want to park in populated areas and have an alarm system with tilt sensors. And park in a confined/tight area where they can't get such a truck in line with your car conveniently.