Any chance of you posting the title of the 4 middle books referred to in your first post? The old images no longer show. No worries if you can't recall.
I already have books on technical analysis on the way. What about fundamental analysis, economical anlaysis, stuff like this... can anyone recommend a book or two that help with this?
When i say this i mean something that is more broad than just covering news trading, but for currencies for example something political or economical that affects the currency. Is there a book that teaches this kind of stuff?
Theres a PDF Ray Dalio wrote "how the economic machine works", google it its free. On an unrelated note, his other work "principles" is also excellent. I also think "the history of money" by Jack Weatherford is a good read.
Understanding yourself is just as important as understanding markets.
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Trading in the Zone (Mark Douglas). Many excellent insights in trading psychology.
The beliefs winning traders have about markets vs losing traders, and how these beliefs/expectations determine
how we will perceive and react to market movement.
E.g. One point I find quite useful. winning traders accept risk. Many traders think they are risk-takers but don't really accept the realization of that risk as an acceptable outcome. To accept the risk means to accept taking a loss as an acceptable part of your plan, accepting being wrong, accepting to be imperfect. It is different to simply placing a stop, it is being psychologically comfortable with taking the stop. If we do not accept the risk, our minds will block any market information that is contrary to our position because it represents a threat and we are wired to avoid pain, physical or mental. We can feel tense or afraid. If we do get stopped out, we become emotionally hurt because we had unrealistic expectations in the first place, because we did not acknowledge that getting stopped out was an acceptable outcome. You can see how emotional management is inadequate if your beliefs/expectations set you up for constant emotional volatility; you aren't really getting to the heart of the problem.
A ton of other great insights. I think this is a book best read a few times.
Understanding yourself is just as important as understanding markets.
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Reminiscences of a Stock Operator, this has to be one of the best books on how a trader thinks.
Phantom of the Pits, this is a series of essays and lessons on technique, it can be found on the net.
The Essential Elements of Trading, by Robert P Rotella.
The Amazing Story of Risk, I forget the author. This is a journey through the history of risk starting thousands of years ago until now. As traders we are risk managers, having a good grasp of our craft is essential.
Cheers John
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Excellent comments, further to this is that just as drugs such as Ice can re hardwire the brain, the impact of trading, winning and losing can eventually re wire our brains, once this occurrs a lot of the emotional issues will no longer exist. In The Essential Elements of Trading the author alludes to this process and asks the question " is the reader ready and willing to undergo this change" with it's potential consequences, if not then don't waste your time and money and risk marriages and family. In David Grahams' book about becoming a Golfing champion he talked about the players who fell by the wayside over the years, many had far greater apptitude and skills, yet they just couldn't succeed. Generally, they were not prepared to forgo the things they wanted and to develop the internal belief systems required to create the Golf machines that the legends are, I've also observed this phenomenon first hand in champion Snooker players. It took him 10+ years to break through, 10 long hard years of just scratching by, risking everything, that is what it took him, each aspiring trader needs to ask themselves the same questions. If you are not prepared to roll the dice and do whatever is necessary then I humbly suggest that you keep your day job and stick to just investing. I am not trying to have a crack at anyone, I'm simply trying to express a market reality.
Cheers John
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^^^ The Tetlock & Gardner book discussed just above also had a very favourable review a few days ago in the Culture supplement of The Sunday Times (UK). (Can't be seen online, unfortunately, other than by paid subscribers to the website.)
This Review on Amazon doesn't agree that this book is worth spending time and money on.
Here is the review: 1.0 out of 5 stars If 0 of 5 stars were an option..., August 4, 2012
By
KCtrader
This review is from: Option Trading in Your Spare Time: A Guide to Financial Independence for Women (Paperback)
Would you buy a cookbook from someone who claims to be a chef, who clearly understands the ingredients and components of a good meal, but just couldn't make a delicious dish?
Here's my story. It was late 2010. I had about $10k to invest, but always thought I could do it on my own, without the need for a financial advisor. After all, if they understood markets, shouldn't they all be rich? I read books, articles, anything I could find to learn about how the markets worked and different approaches to investing. I discovered there are many "markets," but an even greater number of alleged strategies to extract money from those markets. I needed to find a niche. I came across this book and decided that the leverage afforded by buying calls and puts would provide the % return I was looking for on my small account.
After reading this book, I then came across one of Wendy's websites, which had a spreadsheet-type of document alleging that Wendy made over $100,000 in 2010 trading options.
At the time, I didn't question those results. It seemed trustworthy because Wendy seemed trustworthy. I then noticed she was trying out a new service where she would "auto-trade" accounts for 12 months using her "P3 squeeze" pattern, for a fee of $5,000. She would decide which trades to make and those trades would be executed in my account via auto-trade. If she couldn't turn a profit after 12 months, I would receive my $5,000 back. However, if my account grew 100% over that time period (i.e., turning my $10,000 account into at least $20,000 by year's end), she would get to keep the fee. It seemed like a sound investment. After all, Wendy literally wrote a book on options trading. I believed at the time that she could make thousands of dollars per month trading options. As a naive investor/trader, I decided to give it a shot. But I didn't want to sit back as a passive observer during those 12 months either. I was planning on tracking her trades to try and learn the "how and why" behind her trading decisions. I thought that I too could learn to be a successful trader and take over my account after those 12 months.
Much to my dismay, I never learned how to trade profitably over those 12 months from Wendy, because she rarely had a profitable trade. By year's end, Wendy's trading decisions resulted in a loss of almost 50%, nearly $5,000 on a $10,000 account. Lesson learned. Don't trust a "trader" without a proven track record of profitability from actual real-time trading, not hypothetical trading. Ask for copies of their brokerage statements. Ask questions. And always read disclaimers. If it seems too good to be true, it probably is. Common sense advice, of course, but greed is a very funny thing. It has the ability to make the most irrational decisions seem rational.
Despite the loss, I consider it to be a blessing in disguise. I've become a self-taught trader over the past two years, and I have traded my own account ever since. In my opinion, this book is a waste of money. There are many others written by traders with proven track records of consistent profits through even turbulent markets.
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"how to develop a millionaire mind" by T. Harv Eker. Talks about how subconscious conditioning literally caps our ability to create wealth, no matter what sort of strategy or know-how we understand on a conscious level. If you have not examined the importance of subconscious beliefs, I think they are absolutely crucial to trading success. The book can be found for free in pdf format if you google it, its 24 pages and very concise. I also made a post about subconscious beliefs under psychology and money management (you can view it here).
Understanding yourself is just as important as understanding markets.
Received this book today and it is a fairly quick read. That being said, I rate it quite highly even after reading it only once. Focuses entirely on trading psychology and the basic rules of trading.
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First 8 chapters are some excellent background/history on "how we got here". He has an easy to read style. His 9th chapter is basically his thesis of how to fix the markets.
Pro:
- this site in book form (more or less)
Cons:
- he has a contrarian bias, while skirting the negatives of that approach.
Now just tackling "Investors Manifesto" by Bernstein. He has a more analytical/math based approach while still having some semblance of easy reading. This is his third book, his earlier efforts had more math in them. No idea on his latest efforts. Just about to read the psychology chapter ....
At the moment, I'm thankful blind luck dumped these into my reading lap. Both seem aimed squarely at helping the investing newbie get some overview of what the heck the 'markets are about.
About half way finished with this book. I really found his earlier books useful but this one is more like "The coffee house guide to trading strategies". It is a good read but should be about half the cost. I'll update after I read the last half.
"Taoist on Wall Street". Great entertainment. But the only thing I learned was adhering to the shaolin taoist philosophy is really easy behind the monastery wall. Experience the stress of holding a large position is something else.
"Money Game", by Adam Smith. No, not the Wealth of Nations Adam Smith. The 1976 book totally rips apart professional money managers and technical analysis. "Money Game" makes the argument that money managers majored in humanities in college because they are math challenged. And they ended up in finance and money management because that was the only field that paid worth a damn. And the key to being a successful money manager is being able to talk a good game to get more and more new customers to replace the customers that figure out that they aren't worth a damn.
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"Heads I win, Tails I win", Spencer Jakab...........more geared towards stock and mutual fund managers, and financial pundits. Says the role of a financial talking head, advisor is to say the same thing in a different manner that is contemporary. Finally someone besides me that noticed that expert fundamental analysists of the stock market sounds all the same. all the time.
Book also shows that Bill Miller, (Legg Mason, Value Trust) really blows on a dollar weighted average. Sure he racked up impressive results when he was managing 20 million $, but as his fund got larger and larger to 80 billion he (2005), "the wheels came off". "the assets that he managed at the time of his fall from grace, far exceededhtose when he was building up his track record."
In 1990, I sold my position for a 20% gain, and felt really stupid since. Now I don't feel so bad.
And the book gives a mathematical proof for buy and holding a low cost overall market index fund.
Sorry if I bored/insulted all you balls to the walls futures speculators with milquetoast candy-ass stocks and mutual funds.
Imho it's up to you who you think either professional or amateur, many so called amateur are profitable and many so called professional aren't. Market can be explained when it's already over, but there's no guarantee what it will do in the future. So my guess is as good as anybody else. If you think your technique is great, why don't you just share it to us here so maybe we can learn a thing or two...fyi trying to sell a course here isn't allowed unless you've been approved by the site admin.
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This is 100% correct , Trading books full of anecdotes and subjective crap are no use at all and that describes 99% of trading books out there . If it cant be formulated and backtested there is no proof of anything . Ive read this entire thread and some of the books reccomended here are shockers . From one of my fave trading books
If you ever actually knew the probability of a fibonacci level doing what you expect it to you would never put another fib on a chart again , EW fails in the same class . All subjective junk with a severe Hindsite bias when one of the 7 or how ever may fib lines you put on a charts works . This is from Adam Grimes , hope he doesnt mind
Pick your books wisely and dont believe a word you read in any of them until you have applied critical thinking to the concepts . most trading books will poison your mind not help it . Evidence creates clarity , seek it . Use a scientific approach and seek tools to acheive this .... hint be a quant
Psychology another rort , if you have a systematic approach with a robust expectancy you might need a head doctor if you fail to execute but many green traders think psychology books will cure there woes when whats really broken is their method or a total lack of one . Get a method/system before you buy any psychology book . As ive stated before positive expectancy leads to a positive mindset , not the other way around .....
I have close to 500 trading books on drive and i doubt there is more than 20 worth reading . I like quant style books , i suggest everyone reads a couple ... H Bandy a good start . trade well guys
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I would like to mention that sometimes books that are not related directly to trading have helped me understand trading better. For example, game theory/microeconomics helped understand how individuals interact with groups.
It led me to thoughts how individuals traders face the challenge of guessing the markets(group behaviour).
In my opinion, once you understand these concepts you will stop guessing tops and bottoms because the likelihood of being right on it is close to zero. Even when an analyst says he sees stock/futures/bond double in price, it is again a prediction to guess tops and bottom because he.she is gauging how a group will react to data.
I came across a book called "Nudge" by Richard Thaller and Cass Sunstein. The theme of the book is whether we as humans make truly objective and independent decision. The answer to that is not really. It shows how systematically we are manipulated due to our way of thinking.
We should strive to always be conscious of our decision because then we will rely less on impulses hopefully.
In trading, many of our mistakes are related to impulses.
I enjoyed this book, and I thought I will share.
Matt Z
Optimus Futures
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Well said @mattz. Behavioral economics shows nicely how so many irrational decisions are made for the wrong reasons.
One of the easiest examples is to assume I have $1 and I get to divide it up between you and I. If we both agree on how it is divided we both get to keep our share, while if we disagree we both get nothing. I should divide the $1, 99c to me and 1c to you. Since having 1c is better than nothing you should agree with this division and except it. Studies have shown though that divisions higher than 70:30 normally get rejected due to the perception of it not being fair. ie People make a bad economic decision because they perceive it to be unfair. Of course this heavily dependent upon your utility function. 1c isn't meaningful to most people and the results would probably be different if it was $100 Million rather than $1.
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@SMCJB I relate to your example. I have seen this behavior in real life. It seems that many of our "programmed" reactions sure indicate that we need to quiet ourselves before we respond. Left brain type advice.
I remember that after reading some blogs/books about behavioral decision making, I changed my approach.
Rather than try and guess what will work out, I decided to approach with what will not work out.
Essentially you eliminate and say no to things. In my opinion, this approach has changed my decision making for the better.
If you are a trader looking at multiple markets, multiple screens, and multitude of methods, and trying to decide which is the "best" set up, maybe you eliminate those that have poor setups? then focus on the remaning markets.
This is not a unique approach. Some venture capitalists use this approach in deciding which companies they should go after and invest in. They clearly don't have expertise in every area, however, they know with certainty what they don't want to be in or involved with.
Thanks,
Matt Z
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I agree. In statistics the probability of something happening is one minus the probability of it not happening. In many cases it is a lot easier to calculate in the probability of it not happening that it happening.
Hate to sound like I'm preaching but there's a great example of this. You've probably heard that you only need to have 23 people in a room before it is more likely that two or more people share a Birthday than not. Calculating the probability of people sharing a Birthday is very difficult. What happens if three people or four people share a Birthday rather than just two? Calculating the probability of NOT sharing a Birthday though is easy.
If you have one person, the probability of him not sharing it with somebody else is obviously 1
If you have two, the probability is 1 * 364/365 (ie that it is different) = 0.997
If you have three it's 1 * 364/365 *363/365 (ie the 3rd is different than the previous two) = 0.992
...
If you have 23 it's 1 * 364/365 *363/365 * ... * 344/365 = 0.494
Well if the probability of not sharing a Birthday is 0.494, then the probability of sharing a Birthday is (1-0.494) = 0.506!
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His presentations sound a bit like if he was giving new names to old things: mean reversal, correlation, co-integration, pair trading. I'm okay with it as long as I read something new for me.
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I'm listening to this book and I find it fascinating. Buying the kindle version later today too. This is groundbreaking work that I find extremely relevant to trading.
I had the same reaction to his The Art of the Trade. I bought it during a bad patch, on a recommendation from Tim Knight. At first I liked it and I thought I was getting spiritually energized. About half way through, it dawned on me that I had just fallen in a rabbit hole of emotional BS. The singular lesson I took away is that I'm vulnerable to emotional BS.
I also sampled his chat room during his short-lived stint at thinkorswim. I didn't see anything noteworthy regarding his charting skills and he was too easily agitated by the users that challenged his presentation. I doubt his ability to earn, and recommend steering clear.
haha I can't agree more.
The problem with these type of books is the causality is backwards.
Evidence Based TA book was important for me because it introduced me to the concept of the bootstrap and the overall philosophy pulled me out of the nonsense of TA.
I feel like de Prado "Advances in Financial Machine Learning " is on the same level of mindset shift for me. The content is not really all that great but the mindset shift was worth the cost of admission.
Do you mean that the positive expectancy is the result of the positive mindset, therefore the mindset had to have existed first? Yeah, that seems inverted at first glance but I took it to mean that it was up to the reader to apply the practice and then look for the result after. Any trading plan will have an expectancy - even if it was never traded. A plan with a demonstrated positive expectancy generates a positive mindset before the first order is placed.
I lifted his summary description of the zone and put it into my personal system manual (paraphrased):
Mark Douglas described being in the zone as:
• No fear, no euphoria
• No hesitation, no compulsion.
• No agenda:
- No need to be right.
- No need to regain lost money.
- No need to take revenge against the other participants.
- No need to avoid the loss (predefined amount).
• Confident acceptance of risk.
• Peaceful acceptance of any outcome.
And I'm pretty sure this is Douglas:
Thinking in terms of probabilities shifts the basis of right/wrong from the individual trade to a large sample of trades.
Taken together and reduced further, the meaning I took was: Small samples of reality are inaccurate, so don't act like a child during the bad ones.
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Got an email from Amazon @ the release of this book
just checked it and no reviews on Amazon
not sure they would post devastating negative release
but based on what you say, the book is very poor... pitty
It is worth 5 bucks for sure. I guess what I said was a bit too negative as it just falls short of my high expectations. I was expecting this to be the greatest book ever based on the table of contents. I thought it was basically going to be a masterpiece of machine learning for trading with all using quandl data.
It is not that but it is not useless either.
I had just in the past 6 months too got Deep Learning with Python by Francois Chollet the creator of Keras. That is a masterpiece of technical writing, that might be the best technical book I have ever read. I guess that it should not be surprising that the brain to make keras would be amazing at making complex ideas simple. So this trading book is getting compared to Chollet in my mind and that is probably not fair.
In this Packt book this Bayesian Sharpe ratio code in pymc3 might be worth the whole $5. So I should say it probably fails as a complete text but there are nice little nuggets.
I often find that books not related to trading per se could teach you the most about trading. Trading is a process of thinking, processing, evaluating, and predicting while all based on our inherent DNA.
Right now, I am in the process of reading Thinking Fast and Slow by Daniel Kahneman. It is a rare look into how we evaluate risk, process thoughts and make our overall choices. We all think we are unique individuals, but from a statistical point, many times we are not. Our DNA makes the decisions for us, while we believe we are independent thinkers.
In my opinion, if we are aware of the way we think as humans, we can to some degree alter our behavior to see where our thought process that relies heavily on intuition can make us make bad choices.
I hope you enjoy this book and have the ability to withstand the "pain" of Academics talking around their point forever, LOL.
Thank you,
Matt Z
Optimus Futures
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Audible from Amazon has been on my phone forever. Great way to listen to books!
Matt Z
Optimus Futures
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Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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I'm fascinated with Harari's books (actually reading the three of them again).
Do you think it's possible to translate or incorporate anything from this amazing knowledge into the trading activity?
Is there a way to profit from the fact of knowing that everything is just a lie? haha
And I'm not saying to make a profit by contributing to the lies, for example, by building a "billion dollar fictional financial news businesses" (as mentioned in some other thread).
Cheers!
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Absolutely! I’m with centaurer on this one in that it may be one of the greatest books I have ever read.
There are so many examples I could cite from that book but one of my favorites is the chapter on happiness. It absolutely blew me away. Basically, to summarize a great and detailed chapter in a few sentences:
The new age theme is that happiness is not an external condition but rather what you feel inside (because Buddha said it). And that you must pursue happiness because you deserve it. After all, if you feel good then whatever you are doing to stimulate these fleeting vibrations of pleasantness, must be good right?
Wrong. Suffering comes from the relentless pursuit of what you think you deserve. All the literature, videos, gurus, media, public icons...basically everything we as consumers see and hear, tells us to follow our dreams, do what feels right, you deserve better, just do it..etc and from this we impose certain expectations on ourselves.
And thus begins the neverending personal crusade, as we embark on a journey of self discovery towards an imagined holy grail of enlightenment, health, wealth and happiness. We think we are on the right path but its exactly this pursuit that is the root of suffering! I can never do it justice but that book explains the concept beautifully.
So what does this have to do with trading? Self imposed expectations are the root of all evil. You think that because you have logged 10,000 hours of screen time, and you meditate every day, and you have money management skillz and price actions skillz and youve read the books, and you have other badass skillz...that you're going to 'get it' as soon as you overcome this one last hurdle that has been holding you back (The theme on this forum lately has been the monkey brain). Do you see what you're doing? You have expectations of success and you are pursuing. This doesn’t mean you shouldn’t have a well formed point of view, but it means you should consider your point of view as temporary (Tigertrader said that).
From what Ive learned, you never reach a point in trading where you have made it, but rather you are always learning.
You don't pursue a method or approach that will make you successful but rather you do whatever is necessary to get the job done. Your only edge comes from consistency and good money management. Thats it! THats the holy grail.
I don't know why but that chapter helped me 'get' that concept.
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I have read many blog posts and articles by these authors so I am glad they put their thoughts in a book. Their approach to technical analysis is unique because it also combines the behavior of traders. Mass psychology plays a significant role in the way you interpret chart patterns.
The book organized logically: TA components, patterns, and chart formations and the third section helps you build a strategy. An efficient approach.
There is a substantial risk of loss in futures trading. past performance is not indicative of future results.
Trading futures and options involves substantial risk of loss and is not suitable for all investors. Past performance is not necessarily indicative of future results. You may lose more than your initial investment. All posts are opinions and do not claim to be facts. Please conduct your own due diligence. Use only Risk capital when trading Futures.
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I think Options as a Strategic Investment by Larry McMillan hasn't been mentioned yet. It is a real encyclopedia of option strategies which goes into each and every detail. Make sure you read the latest edition which has an extremely interesting chapter about VIX futures and Options. I'm quite sure most people are unaware of the characteristics of these.
Highly recommended.
I've just finished An End To The Bull by Gary Norden for the second time.
I thought I'd add it in here as it's one of the books I've really found useful in trading. Like all books of value, it isn't a how-to method but instead directs traders to think about the bigger picture and adopt certain behaviours that will bolster their chances of being successful in the markets. I've taken different things away from it each time, and as a scalper, the last chapter is very interesting.
I personally got a lot out of this book, so am happy to recommend it.
Cheers.
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I just finished Rocket Science for Traders, by John Ehlers (if you read my trading journal, you'll see I'm a fanboy):
Although his later works seem to supersede the book, it is still a good starting point to understanding different ways in which we can filter the noise from various signals (e.g. prices).
I am currently reading Cycle Analytic for Traders, also by Ehlers. It is his last book and contains improvements over his early works. I was actually able to build a workable trading system from his concepts around the Even Better Sine Wave indicator. I also have Cybernetic Analysis for Stocks and Futures which I will read next.
So these are my highly recommended books. Today.
~vmodus
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Thanks for sharing the book and cartoon. I will have to add that to my summer reading list. I just showed the cartoon to my 10 year-old son, because he struggles with this.
It isn't a calculus text book though either. I would say Marcos did a great job of explaining the concepts in english with as little math as possible and then python code for practical use.
I listen to it in the car. I have had my mind blown so many times listening and I haven't even got past part 2. I also don't mean not to get the text itself and just listen to it. Really, the audio book might be the best purchase I have ever made because instead of listening to nonsense sports talk radio to and from work I get intense trading knowledge and then go back to the text and try to put it all together.
It is such a dense book of trading knowledge.
I would also say the fact the publisher bothered putting in resources to produce an audio book of a quant machine learning text speaks to the clarity of De Prado's thought.
What sort of mathematics / stats subjects do I need to learn before reading this book? I've got the book but struggle to comprehend the math equations and some of the mathy text. Any books or online courses you can recommend ? Thanks!
IMO part of the hurdle is Marcos econometrics background. The machine learning stuff you can learn on fast.ai.
I think the Fractionally Differentiated Features chapter is a good example. If you don't know the time series analysis language he is talking in I don't know how the math can really be put into context anyway. Analysis of Financial Time Series by Tsay is a standard text in that area for finance.
Fractionally Differentiated Features chapter is all about how standard econometric transforms to make a time series stationary wipes out too much memory from the time series and then he shows you how to not do that with python code.
If you don't know why you would want to make a time series stationary in the first place you need to read something like Tsay. I also got Using Econometrics A Practical Guide 7th Edition as it is much less heavy than Tsay. Tsay is cool though because there is a R package with all the data used in the book. I also got A Primer for Unit Root Testing by K Patterson
In general the format is he explains the concept in English with equations and then there is the python implementation. If you are unsure of a part of the equation you should be able to get an idea from the python code.
Don't forget people use and understand moving averages all the time without knowing anything about this equation
Thank you very much for taking so much time to write out this comprehensive reply! It has been very useful to me.
I have heard of fast.ai but wasn't sure it would be useful for finance-related machine learning as it seemed to be more focused on CNN's / computer vision. Will definitely take a look at it again after your recommendation!
Reminiscences of a stockbroker: opened my eyes that games are played
Confessions of a street addict: kind of information is important
Flash boys: not only information but technical development has its impacts on markets
Trading & Exchanges: for beginners regarding the base of market microstructure
Black Swan: from my experience everything could happen
This isn't trading per say book but very important for anyone who is interested in financial markets to read, I say that so people can get better understanding of how and from where this financial market is driven. This was what I read in 2017 as my Uni had it in their library, but its good light hearted fun
Money and Power: How Goldman Sachs Came to Rule the World
By William D. Cohan
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I'm appreciative of this thread. This is obviously a very good list of books recommended over time, by many, covering a list of different topics that seems to apply to various trading styles.
I'm curious: what books specifically would be recommended for an active, intraday, non-algo, directional trader in the us bonds futures? Aside from steidlmayer/dalton on market profile and japanese candlesticks, and pivot boss (which is an excellent book) are there any other sources that people regularly use?
Some of the books recommended so far are algo based, some are mechanical, some are options based, some are general purpose (understanding wall st, etc); yet none of these are good for an active, intraday, discretionary futures trader aside from market profile books. So...I'm looking for recommendations on new ways to look at the market.
Also - has someone compiled a list of all the books mentioned here?
The latest book that I recommend is: Building Winning Algorithmic Trading Systems, by Kevin Davey
I just finished reading it this morning and did not want to pass judgement until I finished. This book is honest, well written and edited, and relatable. There is no hubris, no fluff, and no BS.
Although the primary audience is those who want to learn to build or get better at building algorithmic systems, I wanted to see if there was anything in the book that is useful for discretionary traders. Here are two items for discretionary traders:
Chapter 25 is pure gold, providing archetypes of different types of people you may come across in the trading world, how to identify them, and hopefully avoid them.
Kevin offers a path for discretionary traders to algorithmic trading, if that is a
For those of us who are algorithmic traders, this book has a ton of value. It is sobering, but realistic. The methodology is solid. There is ton of information to absorb and there is not a lot of fluff. You may be surprised by the amount of tracking and analysis that is required, so if you are lazy about doing the grunt work, you might get discouraged.
If you are a discretionary trader, I would borrow it to read. If you are an algorithmic trader or an aspiring one, this should be in your library.
~vmodus
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I like you @vmodus read this book just to see if there was anything in there I could learn that would make me better in my own trading which was not algorithmic in the way that Kevin (aka @kevinkdog) trades. I was also very impressed with the book for similar reasons. This was actually the beginning of a friendship and over the last several years I have actually had the pleasure of meeting Kevin several times. He's as nice, genuine (,and humble) in real life as anybody you could hope to meet.
The following 4 users say Thank You to SMCJB for this post:
Yes, I no longer trade the 2 strategies in the book. They performed well in walkforward and live before December 2013, when I finished writing the book.
They continued to do well up until book release in July 2014.
Once the book was released, of course they started to flatten out and go into drawdown. It figures!
Kevin
The following 2 users say Thank You to kevinkdog for this post:
Don't you have a site dedicated to this book which you update once in a while to let your readers know if something has changed or is no more relevant?
The following 2 users say Thank You to trendisyourfriend for this post:
The post you are referring to is close to 10 years old. I had made it back in 2010 when recommending a book "Algorithmic Trading & DMA" by Barry Johnson. By the way I would still recommend it as I think that it is a good introduction to market microstructure.
The book explains differents types of algorithms, some of which are exploiting other algorithms or the behavior of other market participants. When thinking about markets I have the picture in mind that Robert Axelrod has described in his groundbreaking book "The Evolution of Cooperation". It is a world dominated by algorithms, and you need to know what the other players are doing in this universe. Some of the other trading strategies can be exploited and you can feed on them, such as the trend following strategies exploited by the Turtles gave birth to new trading strategies called "Turtle Soup" or similar.
As a retail trader I am not trying to compete with the big guys - high frequency trading is not for me, because of the high commissions I would be paying and because I am not a trained mathematician. But I am trying to feed on the big players. Trying to compete with the big guys is like trying to climb Mount Everst with a pair of sandals. Feeding on them means to stay on the sidelines and wait until there is an opportunity. My fixed cost is close to zero, therefore I can afford to wait. The big guys can't.
The following 7 users say Thank You to Fat Tails for this post:
These books seem really thick; it doesn't seem like where one would start with algorithmic trading.
Also re: turtle soup. I understand what you mean by mutually beneficial / symbiotic relationships. I even thought of this the other day when I went to a rodeo and there were protesters (animal rights activists) outside.
I thought immediately of a concept I had learned recently about how animals + humans actually live a mutually symbiotic relationship.
On the surface, it appears that we just constrict animals from living how they would want to live, "in the wild" and consume their resources (kill + eat them + eat their products). But when you think further about it, they are actually benefiting a ton from us; we provide them with a steady source of food, as well as safety from danger, etc. So clearly one resource feeds on another and yet it is mutually beneficial to both parties.
I've never backtested it, but I've assume that any edge from the turtle soup setup has been arbed away (presumably there are algos that are fading the turtle soup setup, and so on); curious what your thought are in terms of how far the conceptual rabbit hole goes.
The following user says Thank You to smtlaissezfaire for this post:
Finally someone that has the same opinion I have. Mark Douglas stopped trading to make money selling books and doing seminars, so all his psychological material is not backed by any results. Also his all theory about "anything can happen in the market" and the way he talks about probabilities is plain wrong from a math perspective.
To me he brought nothing useful, actually when I adopted the mindset that anything can happen I started to do stupid trades and lost an awful lot of money.
He was good to sell seminars but he never made any money trading (he said because he devoted to teaching and writing)....he could just take 3 trades per day and prove to the world how good he was, but he had zero time, though he wrote on 300 pages in his entire life.
If you want to read something about psychology read Steenbarger or Gary Dayton.
There are so many good books mentions in this thread!!
I gave a look at almost all posts and I think I haven't see the following books that in my opinion are very interesting.
They are not books about trading specifically, they are about the broader aspect of rational decision making.
I think they can give traders some insights that are quite important.
The books are: "the success equation" and "more than you know", both by prof. Michael Mauboussin.
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