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Top 5 books that an algorithmic trader should read?
Add a few more classic must reads for anyone serious about algo trading. These cover most of it from simple strat ideas to testing, money management as well as detailed portfolio construction and diversification:
I cannot believe it took 3 posts for "Trading Systems and Methods" to pop up. surely this is the long-standing bible.
His newer book is also good which focuses on the methodology of finding a successful strategy without all of the technical details of statistics and how indicators work that's covered in Trading systems and methods:
