Welcome to my online repository of research and insights on automated trading system development
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 — | |
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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– Look up on Amazon US | CA | UK |
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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– Look up on Amazon US | CA | UK |
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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– Look up on Amazon US | CA | UK |
| — MONEY MANAGEMENT — | |
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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 |
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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 — | |
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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 |
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The Complete Turtle Trader – Michael Covel The Turtle story and their complete rules –No review/summary yet– Look up on Amazon US | CA | UK |
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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 — | |
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Market Wizards – Jack Schwager Legendary interviews of top traders. Inspirational and “motivation-kicker”! –No review/summary yet– Look up on Amazon US | CA | UK |
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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 — | |
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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 |
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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– Look up on Amazon US | CA | UK |
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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 |
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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 |
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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 |
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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– Look up on Amazon US | CA | UK |
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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– Look up on Amazon US | CA | UK |
| — OTHER — | |
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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 |
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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– Look up on Amazon US | CA | UK |
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DeMark Indicators Jason Perl The clearest presentation of all TD indicators –No review/summary yet– Look up on Amazon US | CA | UK |
The Inefficient Stock Market – Haugen
And of course the classic..
Reminiscences of a Stock Operator – Lefevre
I think you would also like “The Ultimate Trading Guide” by Hill, Pruitt, & Hill
http://www.futurestruth.com/UltimateTradingGuide.htm
Hi William,
Thanks for the recommendation – I will check it out.
That list seriously needs updating though – I did not put all the books at the time and the list has grown quite a bit since…
An essential on system development:
http://www.amazon.com/Evaluation-Optimization-Trading-Strategies-Wiley/dp/0470128011/ref=sr_1_1?ie=UTF8&qid=1350706215