Welcome to my online repository of research and insights on automated trading system development
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 [...]
Entries Tagged as 'Books'
Summer Reading by Covel – Take II: The Little Book of Trading
August 29th, 2011 · 5 Comments · Books
Tags: michael covel
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 [...]
Tags: covel
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 [...]
Tags: fractal·mandelbrot
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 [...]
Tags: amh·andrew lo·research paper
The Bootstrap Test: How significant are your back-testing results?
August 11th, 2010 · 26 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 [...]
Tags: aronson·bootstrap·data mining
Evidence-Based Technical Analysis
August 5th, 2010 · 14 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 [...]
