Systematic Trading research and development, with a flavour of Trend Following
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Library

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Library

This is the list of my real-life library dedicated to building automated trading systems. Please feel free to suggest your book recommendations or any additional info using the comments section below.

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

4 Comments so far ↓

  • David

    Nice recommended reading list, I’ve got a few of those titles in my collection and everyone of them is good.

  • deepak tandon

    hai nice library collection me a fca from india trading stock markets for the last 20 years at present doing serious system trading which are producing over 60% roi in last 2 years on business models developed by myself regards

  • Rayner

    Hey Jez,

    I would suggest following the trend by Andreas Clenow.

    A very good practical guide on trend following with statistics to back it up.

    Let me know what you think.

    Rayner

  • Jez Liberty

    Thanks Rayner.. That’s a very good book. I’ve been meaning to add it on here for a while actually. Thanks for the reminder

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