Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'Books'

Summer Reading by Covel – Take II: The Little Book of Trading

August 29th, 2011 · 5 Comments · Books

Trend Following Strategy for Big Winnings is the subtitle of Michael Covel’s latest book (link on Amazon), an addition to the “Little Book of…” series (“Trading” in this instance). I find it quite surprising for an author to come out with two books roughly at the same time but this book is fairly different from […]

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Summer Read: Trend Commandments by M. Covel

August 8th, 2011 · 2 Comments · Books, Trend Following

    You want confidence and inspiration? It’s here. Michael Covel’s Trend Commandments is a new book on Trend Following, which focuses mostly on the psychological and philosophical aspects of this trading strategy. You want a “how-to” book, including a “turn-key” Trend Following system? It is not there (The Complete Turtle Trader did this with […]

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Book: The (mis)Behaviour of the Markets

May 12th, 2011 · 2 Comments · Books

When Benoit Mandelbrot passed away last year, I thought it would be nice to re-read his (mis)Behaviour of the Markets, to symbolically “pay tribute” to this visionary maverick. I really enjoyed the book first time round and it still reads very well. It is more of “vulgarisation” book, telling the story of how Mandelbrot developed […]

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Reconciling Behavioral and Modern (EMH) Finances?

October 26th, 2010 · 4 Comments · Books

After the post on Fama’s rebuttal of Moving Averages (and a few strong reactions to it), it might be worth taking a more balanced look at the argument. Andrew Lo introduced the Adaptive Market hypothesis (AMH) in a 2004/2005 paper (download here). With the AMH, Lo attempts to reconcile the Efficient Markets Hypothesis with behavioral […]

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The Bootstrap Test: How significant are your back-testing results?

August 11th, 2010 · 29 Comments · Backtest, Books

As mentioned in the Evidence-based Technical Analysis review post, the main value of the book lies in the presentation of the two methods allowing for computing the statistical significance of trading strategy results, despite having a single sample of data: Both methods solve the problem of estimating the degree of random variation in a test […]

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Evidence-Based Technical Analysis

August 5th, 2010 · 16 Comments · Backtest, Books

Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals   Today I’ll be talking about an excellent book, which was recommended on several “quant” blogs I read: Evidence-Based Technical Analysis by David Aronson. One of the main reasons I picked this book is because it teaches you to fish (instead of […]

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A practical Guide to ETF Trading Systems

March 4th, 2010 · 10 Comments · Books, Strategies, Trend Following

It’s been four months since the last book review. I wanted to make book reviews a more frequent feature of the blog. Problem is I often start few books at once but struggle to finish them. The book for today’s review is A Practical Guide to ETF Trading Systems by Anthony Garner, who is a […]

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Stats… and Bill Eckhardt

February 8th, 2010 · 6 Comments · Books

Over the New Year break I read the illustrated Cartoon Guide to Statistics which was great to go over the basics of classical statistics, and the format makes it easy to pick it up for a few minutes reading. I have also been recommended, and bought Statistics Unplugged – which deals with the same topics […]

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Joyeux Noel and Happy New Year!

December 22nd, 2009 · 2 Comments · Blog, Books, Off-track

Wishing you all a fantastic time off for this end of year! Be it with friends, family, or any way you will spend it…. The Au.Tra.Sy blog will be no exception and go into a short “hibernation period”. I certainly seem to have hit a (small) motivation “roadblock” and slowed down in my research/development of […]

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Covel's Trend Following: A review

December 1st, 2009 · 21 Comments · Books

Before I start let me state that this book has raised some controversies. However I really like it (I own two different editions of it) and I’ll explain why. What this book is not If you are looking for the Holy Grail of trading systems and/or a complete “turn-key” trading system: look elsewhere as this […]

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Are you reading the essential books?

October 13th, 2009 · 4 Comments · Backtest, Blog, Books, Code, Data, Development, Money Management, Software, Strategies, Trend Following

I am bit of a geek and this is especially true when it comes to books. I firmly believe in self-development and I think books are a great medium to learn many things. Ok, the internet is so great to learn about new things; but nothing beats a good in-depth book(s) to really learn a […]

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Balsara: Money Management Strategies for Futures Traders

September 29th, 2009 · No Comments · Books, Futures, Money Management

Over the weekend I finished this pleasant and instructive book… Over time I am aiming to build a library reference on this blog with a summary of all the books I have found useful. The idea is to be able to recall quickly the main points of the book. Hopefully you will find it useful […]

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