Systematic Trading research and development, with a flavour of Trend Following
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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 subject by yourself.

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 –
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
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