Recommended reading

Despair · 2017-10-22T08:51:55+00:00

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.

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10/22/2017 at 9:51 AM #50195 quote

Despair
Blocked

Master

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.

Ste and Juan Salas thanked this post

10/22/2017 at 10:11 AM #50197 quote

Inertia
Participant

Master

That one is my favorite…and actually I did not find equivalent yet…

10/23/2017 at 12:45 PM #50310 quote

Despair
Blocked

Master

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.

10/30/2017 at 10:26 AM #50904 quote

teddy58
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Average

So Despair, ich hab mir das erstgenannte Buch mal bestellt. Deine Empfehlung soll ja nicht vergebens gewesen sein.

Despair thanked this post

10/30/2017 at 9:11 PM #50968 quote
stefou102
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Veteran
links making some selection:
Despair thanked this post
10/31/2017 at 8:05 AM #51014 quote

Inertia
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Master

Les grands classiques : http://www.afate.com/index.php/ressources/biblio-sommaire

11/01/2017 at 7:41 PM #51253 quote

Derek
Participant

Veteran

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

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