I will gradually resume posting on the blog, starting with an overdue update on Trend Following Wizards performance tomorrow (covering the results from May). It is so late in the month that there is not much point running a May edition of the State of Trend Following report: I will post a combined May+June State of Trend Following report in the first few days of July. Other posts will follow once I am back “in full swing”.

For those interested, I’ll leave you now with the answers to the “Summer puzzle” from my last post.

It is indeed possible to add a strongly anti-correlated instrument to a portfolio, without improving either return or risk of the portfolio. The “trick” was in the definition of “risk”: not the usual volatility/standard deviation but rather Max Drawdown.

The answer with two simple pictures:

And with the extra portfolio component:

Both the base portfolio and extra component have an identical (arithmetic) average monthly return, and their monthly returns are strongly anti-correlated, with a Pearson correlation coefficient of -0.87. However, the Max Drawdown of the combined portfolio is higher than that of the base portfolio.

I also attach the Excel spreadsheet for readers wanting to poke at, and check the numbers.

I obviously designed this example purely to play around and fit within the conditions of the “puzzle” but it does show that low or even anti-correlation is not necessarily the “magic bullet” – if calculated on a single timeframe only, as highlighted by Pumpernickel in the comments section below.

His/her comment actually represent a much better conclusion to this post. In summary: When looking for low or negatively correlated additions to a portfolio, do not focus on correlation calculations on a single timeframe (as per this “puzzle) but instead on multiple timeframes. Check the comment for a more detailed explanation from Pumpernickel.

Finally, the mountain pictured on the last post is Mount Kailash (as rightly guessed by some readers), one of the most famous mountains in Tibet – where I spent most of the time off in the past month.

Just a quick post to let you know that the blog will go into “hibernation mode” for roughly a month, as I am going travelling to very remote places for the next 4-5 weeks, most of which will be without internet access or even electricity… It will be an interesting “jump” into a “disconnected” world, which should hopefully bring me back refreshed and full of new ideas.

There will be no new posts and I will not be replying to emails or approving new comments. The State of Trend Following and Trend Following Wizards report for May will be delayed to the end of June – apologies for the inconvenience.

Correlation Thoughts

It is often said that “Diversification is the only free lunch on Wall Street”.

Adding a new instrument or system usually improves a portfolio’s risk/reward profile, thanks to the non-correlation of the new addition – with the improvement usually increasing when the correlation decreases.

I’ll leave you with this “Summer puzzle“:

Is it possible to add a strongly anti-correlated instrument to a portfolio, without improving either return or risk of the portfolio? If yes, how?
Note that to make this puzzle less obvious the new instrument should have positive average return and volatility/standard deviation both similar to that of the portfolio (with risk being defined as Max Drawdown, and strongly anti-correlated with Pearson coefficient < -0.8).

Most readers will probably find the key to that puzzle fairly easily, but I still find it worth to ponder the answer, and the impact it can have on how to use correlation in system development. Without thinking about it, it seems fairly counter-intuitive.

As an extra, deciding question, you can try and guess where I will be in the coming month...
Hint: the main clue is in the picture above + the fact that this is a circumambulated mountain (rather than climbed).

Feel free to send your submissions by email or comments. Nothing to win though...

Until the end of June.
Jez
 
 

I have decided to move the blog to a new hosting provider: WP Engine, which specializes in hosting WordPress websites. Their tagline is:

We make WordPress fast, secure, and scalable by hosting your site on our rock solid platform

And from the testimonials I have reviewed, they seem to live up to the expectations.

The other aspect of the migration is that I “rebuilt” the blog from scratch: brand new installation of WordPress and plugins, brand new database. Only the essential text content was migrated via file import/export, after running virus checks on them.

This, added to the multiple layers of security that WP Engine implements should keep the hackers at bay, so your browsing of the website should be completely clean and free of badware.

Faster Load Times

Another advantage of this hosting upgrade is that the website should feel noticeably faster to load thanks to the improved performance configuration implemented by WP Engine. I will not go into too much detail, but for those interested they include Content Delivery Network as well as server and WordPress caching, sophisticated hardware and optimized database back-end.

I know how slow websites can be frustrating and I hope you enjoy this upgrade in the blog load time. Let me know if you do not see a marked improvement in performance (note that there is still a possibility that you access the old website – identified by the “Old Version” addition in the header – as the DNS changes can take a few days to fully propagate).

Hopefully I can now go back to my research and blogging instead of chasing malwares and configuring web servers.
 

Not Posting but A Couple of Links

The migration has kept me quite busy and I have not had the time to post anything.

Instead, here are a couple of links on topics that have picked my interest this last week:

• Trading Blox forum thread on “Blending non-correlated equity curves” (to reduce volatility)

Interesting study from Trader’s Roundtable member sluggo, discussing how diversification decreases volatility in a portfolio. The angle of the study is to look at how the degree of correlation between two equity curves affects how much the volatility decreases when blending the two equity curves (I am simplifying: check the full post and discussion for more info, it is very detailed and complete).

If you have not registered on the Trading Blox forum, you should definitely consider it – even if you are not a Trading Blox customer. The level of discussion and knowledge over there is “top-notch” and will definitely provide some inspiration for trading system design.
 

• Transtrend Trendpot Measure: measuring trendiness of markets

Mike Covel posted this presentation from Transtrend on how to measure the trendiness of markets:

The purpose of the new measure Trendpot is to help explain and understand the performance (or the lack thereof) of medium to long-term trend following programs.

This is an interesting concept. Such measures can help explain the performance of Trend Following over past periods and help benchmark/monitor a Trend Following trading system: if a Trend Following system has performed “badly” when the trendiness of markets was high, there might be a problem with the system. If it performs badly when the trendiness is low, this should be less of a concern.

In 2008, for example, the trendiness measured via Transtrend Trendpot calculation was the highest of the past 20 years, explaining the stellar performance of most Trend Followers. In 2009 though, the Trendpot value was at the lowest of the last 20 years. Not surprisingly, it was not the best year for Trend Followers.

Check the presentation for more details (PDF link below to the presentation hosted on Mike Covel’s blog):

Some of you have noticed that the blog was unavailable and/or triggering virus warnings for a good part of Thursday and Friday.

I would like to apologise for any trouble this may have caused you.

The website was hacked by malware, and subsequently added in google safe-browsing blacklist. This would have caused most of you to see a red warning screen in your browser, when trying to access the blog.

The hack was a scripting exploit, most likely making its way through the site via security vulnerabilities in WordPress (blogging platform I use) and injecting parasite code in genuine WordPress files.

I actually caught this infection fairly early and removed/fixed the incriminating files quickly – but the blacklist marking in google safe browsing records take a long time to be lifted, once a site has been cleaned (as of now, a review by Google is taking place after their latest malware scan declared the website clean UPDATE: the site has now been marked clean by google in their safe browsing records).

In case you managed to visit the site in the last two days, it is very likely that the site was already clean (as I removed the hack as soon as it manifested itself) or that any malware code would have been caught by your antivirus.

Nevertheless, here is more information/links regarding this issue:

• Estimated time where the site was infected: Thursday 10/02 between 12.00/14.00 GMT – 07.00/09.00 EST – 04.00/06.00 PST.
• Google Safe Browsing Diagnostic page (provides more details on the issue). Note that the website appears to have been scanned on the 11th Feb (today) with no trace of infection any more.
• Recommendations from stopbadware.com for internet users. If you are worried that your computer might be infected, please follow their guidelines to identify and remove malware, as well as protect yourself going-forward.

This is obviously a very frustrating experience for you and for me – and I am working towards a complete sanitisation and on-going protection.

I have been talking with the support team of my hosting company to understand the root cause of the attack. I am also reviewing security settings and potential WordPress installation issues in order to avoid this going forward.

Thanks for bearing with me while I try to eradicate the issue completely. I am considering several options, including a full wipe of the website and fresh reinstall or changing hosting company.
I will write an update on this when the issue is fully resolved.

Jez

Last week marked the first anniversary of the blog, and coincidentally the 100th post as well. Last September, the blog was born (does that make it a birthday or an anniversary?…) and I have not really looked back since.

The first thing I want to do is to thank all of you, readers. I have had genuinely interesting conversations with some of you, whether on or off the blog – and even met some of you in real-life. This has definitely played a role in pushing some of my thinkings further, or simply giving me new ideas/concepts to work on. Writing these articles/posts regularly is also an excellent driver for my research.

In that respect I consider the blogging experience as successful and I hope that it has been mutual, and brought you interesting points of view for your own trading.

I cannot fail to mention all the other authors in this niche of the blogosphere, which have also been an important part of this idea generation/exchange process. The ones I read regularly are on the blogroll but I want to single out my main sources of inspiration for starting this blog:

• Mebane Faber and the World Beta blog
• Mike Stokes and the MarketSci blog
• David Varadi of CSS Analytics

If you’re reading this: a special thanks guys!

Trend Following and Motor Racing

I find it interesting to draw parallels between trading and real-life, especially with things I am interested in (as in Surfing and Trend Following).

And to “celebrate” the blog birthday I treated myself to some track time (I feel passionate about trading, but I agree with Mike on not wasting a good life trading — except I don’t do MMA fights, I prefer having fun with a bit of racing).

And I could see such parallel between some racing line theory and some marketing itterature from BlueTrend, that I was reading not long ago… Bear with me:

This is not really a motor racing blog so I’ll keep the explanation short; but in effect most beginner drivers tend to go into a turn (too) early because it feels safer: It gives an impression of more space and time. However, there is a clear benefit in turning in later – as you can see from the diagram below. The exit line is straighter and allows to get a better “drive” out of the turn. Another very important aspect to make this work is to be very smooth and progressive with the throttle (for bike stability, holding the line, etc.).

Racing line: get in later to drive in faster

One of the main marketing points in BlueTrend’s brochure, describes their strategy as more progressive (ie gradually building positions), which allows them to capture only the bulk of the trend, by getting on the trend later (and avoid some early whipsaw action).

I find the concept very similar to wanting to turn in earlier on the track, and keeping a smooth, progressive throttle.

This is merely an extract from BlueTrend marketing brochure, but is a concept worth investigating. My gut feel is that the main benefit would lie in producing a smoother equity curve, rather than an improved raw performance. Note that this is not a new concept: the “Turtles” were also adding/pyramiding to their positions.

With regards to the exits, BlueTrend try to anticipate reversals and lighten up their positions ahead of them, not much “cornering” parallel I could find there.

And to conclude a few pics of yours truly, trying to turn in late…

Trading hand signals - tradingpithistory.com

It’s nearly the end of the Summer and I hope you enjoyed a nice time. The blog will go on a short break until the end of August, while I (hopefully) enjoy some good weather in the French Cevennes and the English Lake District.

In the mean time, I’ll leave you with a link to a pretty cool website I found (Trading Pit history – sample pics above), which documents the various hand signals used on the futures trading floors. A typical part of the trading folklore, and a language of its own, probably in decline due to the advent of electronic trading.

New readers: Welcome to the blog! You might be interested in catching up on the posts from the main 2 topics of the Summer: roll yield and back-testing results statistical significance – or older posts (the “Popular Posts” section on the left-hand side is a good place to start).

You might also want to subscribe to the blog to make sure you are not missing on any of the action…

Roll yield posts:

• Crude Oil, Contango and Roll Yield for Commodity Trading
• Trend Following returns breakdown
• Roll Yield and Commodity Yield Curve
• Better Trend Following via improved Roll Yield
• VIX, Peso… Sometimes you just cannot trade it!

Back-testing results statistical significance posts:

• Evidence-Based Technical Analysis
• The Bootstrap Test: How significant are your back-testing results?
• Bootstrap – Take 2: Data Mining bias, Code and using geometric mean
• Monte Carlo Permutation: Test your Back-Tests

Tune back in at the beginning of September…

CC picture by almccon@flickr

Improved Vortex indicator

As mentioned in the original Vortex indicator post, I thought there were some flaws that needed to be corrected in the original version published by the authors (Etienne Botes & Douglas Siepman). I have since heard from them .

They gave me a detailed explanation regarding the logic of their design. The most important consideration is that they are using their indicator on Forex – which is a 24-hour market and therefore exhibits virtually no gap. Moreover, I believe they favoured a simple moving average (to Wilder’s exponential one) to add extra lag / beneficial noise filtering.

Anyhow, I still thought that the indicator could be improved for non-Forex markets. I also thought that the process could be taken further by creating the AVX: the Average Vortex Index (similarly to Welles Wilder’s ADX, based on the DMI). Well, I coded that up as well.

Trading Blox blocks for all this code can be downloaded at the end of the article (or in the new free code section).

Updated calculation logic

I started prototyping the calculations in Excel for the original Wilder DMI and ADX, the original Vortex indicator and my improved version. Please find the Excel spreadsheet for your perusal.

As mentioned in the initial Vortex indicator post, the original calculation did not handle gap days appropriately (in my opinion) and was not replicating the smoothing implemented in Wilder’s DMI by the use of an exponential Moving Average (Wilder’s to be precise) for the VI/TR calculation.

The logic implemented is as follows:

VM+ = High - Low[1]

(VM+ is today’s High minus yesterdays’ Low, can be negative, in case of down gaps)

VM- = High[1] - Low

(VM- is yesterday’s High minus today’ Low, can be negative, in case of up gaps)

True Range (TR) is calculated as per the standard formula.

These 3 daily indicators are then smoothed using the “Wilder” exponential moving average (alpha = 1 / N ). These give us AVM+, AVM- and ATR.

Normalise AVM+ and AVM- by ATR to obtain the improved VI+ and VI-.

VI+ =AVM+/ATR
VI- =AVM-/ATR

Building upon these calculations, we can just replicate the ADX logic to create the AVX indicator:

Calculate the VX:

VX = (VI+ - VI-) / (VI+ + VI-) x 100

VX is then smoothed (using Wilder moving average) to produce the AVX.

Now we’re talking!

Note that because VM and VI both have higher values than the original DM and DMI, VX and AVX,which express the relative difference of VI+ and VI-) will not register values as high as the ADX. But that’s ok – it just means we work on a different scale (where AVX>15 might be similar to ADX>60).

Vortex to the test

The vortex indicator can be used as an entry signal (go long when VMI+ crosses above VMI- and go short with the opposite cross). In addition, the AVX can be thought of as a measure of the strength of a directional vortex movement. The entry signal could be enhanced by only taking the signals where the AVX breaches a specific strength threshold (note: this is a very similar logic to the ADX system that ships with Trading Blox).

Calculating the e-ratio for the VMI/AVX entry is a great way to measure the edge of that specific entry.

Another great thing is the Blox marketplace where Trading Blox users share their custom code. And guess what? There was a block available for e-ratio calculation. Great! I love it when I can leverage existing code…

With a bit of updating of the system I managed to run the e-ratio calc on 3 different entry signals:

• Simple VMI cross
• VMI cross with AVX threshold filter (threshold = 10)
• VMI cross with AVX threshold filter (threshold = 15)

Below are the charts for each of the entries:

e-ratio plotted for length of 1 to 100 days

Notice how the AVX threshold does not seem to help and is completely counter-productive in the “AVX>15″ case. In a classic example of curve-fitting / data snooping, we could decide to turn around the AVX threshold logic and only take signals for which the AVX is below 15. But we will not do that. Bad practice ;-)

Conclusion

I was not expecting much out of this study. I was mostly using it as material for getting to use Trading Blox. I was not surprised by either: I found Trading Blox easy to get a handle on. Definitely a productivity boost compared to TradersStudio, both in terms of development and simulation running time.

With regards to the vortex indicator, it does seem to provide a (small) edge when used as the authors intended to (albeit in a modified form). The AVX filtering, on the other hand, did not seem to improve anything at all. Maybe the edge would have been better, had I not “messed up” with the indicator…

Code download

Please find below the individual components (blocks) for download:
improved Vortex Indicator & AVX auxiliary block file (tbx)
AVX Entry Exit block (tbx)
AVX System (tbs)
The lot in a zip file

The Big 50 picture - courtsey of maxshirley@flickr

But first a big thank you to all of you, my readers. it is quite some work, but I am having fun keeping this blog and interacting with some of you.

In January, we crossed another significant threshold: 5,000 readers over one month (and growing). It is definitely rewarding to see that you seem to be interested in what I am writing. And if you want to keep updated, please make sure to subscribe to the blog.

I’d also love to hear from you. So if you have any feedback, ideas about interesting topics, or just rants, drop us a line via the comments at the bottom.

Pipeline update

You might want to catch up with my October pipeline (I did) to refresh your memory on the projects that were planned then.

My main focus has not changed. I have settled on an end-of-day trend following system and I am still working on this as my main objective. In conjunction with this, I will also keep researching anciliary topics such as money management, portfolio allocation, position sizing as well as back-testing procedures and historical price data manipulation.

Statistics

After re-educating myself on classical statistics, I want to explore more esoteric areas such as robust statistics, non-parametric statistical inference, robust and explanatory data analysis, etc. The stats software R is also on my list of things to learn

Monthly reports

The Trend Following Wizards monthly updates are one of the most popular topic of the blog. I am planning to create a new type of Trend Following monthly report, independent of CTA performance.

For this new report, I was inspired by Market SCI’s excellent State of the Market report, which monitors a set of strategies to identify the state in which the market is operating. The idea for this State of Trend Following report wil be to track a few “classic” Trend Following strategies (MA crossovers, Channel breakouts, etc.) with different timeframes.

Trading Blox

I am now an official Trading Blox customer. This means I will make very little use of TradersStudio going forward. I believe Trading Blox will allow me to progress much faster on most of the points above. I will climb up the learning curve and definitely keep you updated on how I get on with this great piece of software.

IB API and DEMARK ON HOLD

These two are not my main priorities at the moment. As days seem to always be too short, I’ll park these projects under further notice.

Any ideas or feedback from you? Please add your comment below…

Will Christmas bring the Bear back? We shall not care - we are systems traders... image credits: alicepopkorn@flickr

I certainly seem to have hit a (small) motivation “roadblock” and slowed down in my research/development of a trading system in the last few weeks. So these few days break are most welcome to “recharge the batteries”.

Looking back at the last 3-4 months the blog has been live, I feel pretty happy of the experience and the path it has taken. Traffic has been decent for this kick-start period so it seems that you are happy too – which is encouraging. It takes time to keep a blog, up but it helps keep me on track! I have also “met” (by email, blog comments, forums, etc.) some great people that pushed me to further some of my reflexions and learn new things. You are part of this, so thank you!

If you have any further suggestions about the blog, please let me know by email or by commenting below – I always appreciate every single comment.

Selection of posts

If you have joined recently you might want to catch up on these selected posts:

• Series of posts on the e-ratio: use it to measure your edge, code it up in TradersStudio and AmiBroker.
• A bit more personal: why I write the blog and what’s in the pipeline.
• Michael Covel dropped by to comment (and argue a bit) on the review post of his book Trend Following.
• Continuous Futures contracts and their different options, with some C# code to generate the data using the CSI API.

Xmas Reading Linkfest

Also, I did not want to let you with nothing “to chew on” while I’m away, so I am sharing a list of reading material that I will probably go through in the Christmas break:

• I have come across Futures and Options Trader magazine, an interesting quarterly publication with free PDF download (requires email registration). Some good articles for automated trading systems, with a finger on the “market pulse” (Futures calendars, etc.).
• On the nature and origins of trend following by Stig Ostgaard.
• For those that have not come across it before: Mebane Faber’s updated tactical asset allocation paper, also a paper discussing its conclusions.
• A couple of articles from Taleb: the Fourth Quadrant – a map of the limits of statistics, Bleed or Blowup? Why Do We Prefer Asymmetric Payoffs?
• To balance with the above – a critic of Taleb’s views.
• Stats book:
  A stats book is always a good idea as this is an often “skill for life” – as illustrated in the excellent – and definitely required understanding for the data analysis that comes with trading systems development. My short-list, in no particular order: this one, that one and 2 other ones.
  But as it is Christmas, I will probably make it easy on myself, and start with this illustrated cartoon Stats guide, which seems to have great reviews and will surely be more fun to read (and learn – it is still a serious book).
• Mandelbrot: (Mis)behavior of the Markets
  I found this a very enjoyable read and I am planning on re-reading it during the break. Despite the subject matter (fractal analysis of financial time-series and “review” of the Efficient Market Hypothesis/CAPM, etc.) this is an easy read, which expands on some of the concepts popularised by Taleb. Hopefully a more detailed review will be coming in the new year.
• Vince’s Portfolio Mathematics
  This one has been sitting on my desk for a while. It is a reference in the Risk/Money Management/Position Exposure and introduces the Optimal f and Leveraged Space Model – I think every trader should read this, if only to understand some of the concepts. I will aim to finish it and post a review of it in January.
• And finally some non-trading related books that might provide philosophy insights on how to approach life, recommended by Tim Ferris (from The 4-Hour Workweek):
  Zorba the Greek: Epicurean and Stoic philosophies wrapped into a laugh-out-loud story you will never forget.
  Letters from a Stoic (Seneca): Common Sense, Roman Decadence, and the Meaning of Life – A timeless masterpiece!

Note about the FTC

Note that the FTC (Federal Trade Commission) has changed some rules regarding blogging endorsements. As I get paid (a little – literally pennies) off the links to Amazon – including purchases you make while on Amazon that I did not link directly to – I added a disclosure page highlighting just that and other things about the blog. I am not sure I have to (as I am based in London) but a little transparency does not hurt – and it’s also a friendly reminder that you can support the Au.Tra.Sy blog by starting all your Amazon shopping here ;-)
Rest assured that when I review or recommend books, I only do so if I liked them/found them useful (or not in case of negative reviews…) and all my library books actually sit on my bookshelf (+ some that I have not deemed relevant, or read yet!…).

2009 Closing

These are most likely my last online words for 2009… Have fun and see you on the other side for a great new decade!

This is the list of my real-life library dedicated to building automated trading systems. This is not the exhaustive list: I have more specialised books which I will add at a later stage (some I have not read yet…). But the collection below is a decent starting list:

Please feel free to suggest your book recommendations or any additional info using the comments section below.

Please find below the Library organised in several sections:

• TRADING SYSTEMS
• MONEY MANAGEMENT
• TREND FOLLOWING
• TRADERS INSIGHTS
• MARKETS, RISK AND CHANCE
• OTHER

– TRADING SYSTEMS –
	New Trading Systems and Methods – Perry Kaufman An encyclopedic (1,000+ pages) review of Systems Ideas and Methods –No review/summary yet– Look up on Amazon US | CA | UK
	Quality Money Management – Benjamin Van Vliet & Andrew Kumiega Best practices in Systematic Trading Technology. Build it with Quality! –No review/summary yet– Look up on Amazon US | CA | UK
	Trading Systems and Money Management – Thomas Stridsman Presents a strong approach to developing Trading Systems integrating Money Management concepts –No review/summary yet– Look up on Amazon US | CA | UK
– MONEY MANAGEMENT –
	Money Management Strategies for Futures Traders – Nauzer Balsara Complete introduction to the essential concept of Money Management. Check my review/summary Look up on Amazon US | CA | UK
	The Handbook of Portfolio Mathematics – Ralph Vince Essential reading for Optimal Allocations and Leverage! –No review/summary yet– Look up on Amazon US | CA | UK
– TREND FOLLOWING –
	Trend Following – Michael Covel See Why and How Trend Following works. Over a dozen of top CTAs covered. –No review/summary yet– Look up on Amazon US | CA | UK
	The Complete Turtle Trader – Michael Covel The Turtle story and their complete rules –No review/summary yet– Look up on Amazon US | CA | UK
	Way of the Turtle – Curtis Faith The Turtle experiment from the inside – told by a Turtle! –No review/summary yet– Look up on Amazon US | CA | UK
– TRADERS INSIGHTS –
	Market Wizards – Jack Schwager Legendary interviews of top traders. Inspirational and “motivation-kicker”! –No review/summary yet– Look up on Amazon US | CA | UK
	The New Market Wizards – Jack Schwager Schwager strikes back! You’ll re-read him often. –No review/summary yet– Look up on Amazon US | CA | UK
– MARKETS, RISK AND CHANCE –
	The (mis)behavior of Markets – Benoit Mandelbrot A fractal view of Risk, Ruin and Reward –No review/summary yet– Look up on Amazon US | CA | UK
	The Black Swan – Nasim Taleb Taleb re-writes the rules of risk. An excellent perspective on conventionally accepted concepts –No review/summary yet– Look up on Amazon US | CA | UK
	Fooled by Randomness – Nasim Taleb The hidden role of Chance in Life and the Markets –No review/summary yet– Look up on Amazon US | CA | UK
	The Drunkard’s Walk – Leonard Mlodinow The hidden role of Chance in Life and the Markets –No review/summary yet– Look up on Amazon US | CA | UK
	A Random Walk Down Wall Street – Burton Malkiel The original classic claiming Efficiency in the Markets –No review/summary yet– Look up on Amazon US | CA | UK
	A Non-Random Walk Down Wall Street – Andrew lo & Craig MacKinlay Collection of academic papers on Efficiency Market Theory –No review/summary yet– Look up on Amazon US | CA | UK
	When Genius Failed – Roger Lowenstein How mis-understanding of Risk and Money Management drove LTCM to their graves. Fascinating! –No review/summary yet– Look up on Amazon US | CA | UK
– OTHER –
	Schwager on Futures Managed Trading – Jack Schwager In-depth investigation into the Managed Futures/CTA industry –No review/summary yet– Look up on Amazon US | CA | UK
	Starting Out in Futures Trading – Mark Powers Learn the ropes of Futures Trading: a Beginner’s reference. –No review/summary yet– Look up on Amazon US | CA | UK
	DeMark Indicators Jason Perl The clearest presentation of all TD indicators –No review/summary yet– Look up on Amazon US | CA | UK