I read a lot books on algorithmic trading (and also trading in general) and always search for new books that can teach me something. So I thought it might be of interest for others too and thought to start a thread where we can present books we read and found useful.
I think we should always include at least title, author, a link to amazon where one can buy the book and maybe 1-2 sentences about why you recommend the book.
I will make the beginning:
Building Winning Algorithmic Trading Systems from Kevin Davey
This book describes the authors way to strategy development. He has a pretty mechanical approach to avoid
curve fitting which I found very useful. It also explains monte carlo simulations and gives one really a roadmap to follow for strategy development.
That one is my favorite…and actually I did not find equivalent yet…
Come on guys! Somebody must have read something! I will recommend another one:
Evaluation and Optimization of Trading Strategies from Robert Pardo
https://www.amazon.com/Evaluation-Optimization-Trading-Strategies/dp/0470128011
Pardo was one of the first who published and explained walk forward analysis thoroughly.
So Despair, ich hab mir das erstgenannte Buch mal bestellt. Deine Empfehlung soll ja nicht vergebens gewesen sein.
links making some selection:
As a beginner Trading Systems and Methods by P. Kaufman was quite insightfull.
Sorry, I can’t link correct on mobile:
http://eu.wiley.com/WileyCDA/WileyTitle/productCd-1118043561.html