Some highly recommended books
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Some highly recommended books


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Created June 11th 2009 by Big Mike
Updated February 17th 2020 by smtlaissezfaire
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Some highly recommended books

  #491 (permalink)
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vmodus View Post
The latest book that I recommend is: Building Winning Algorithmic Trading Systems, by Kevin Davey

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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

Will order one for this holiday reading

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  #492 (permalink)
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I agree, the book contains a lot of good information for beginning and advanced traders.

The book describes what steps you have to take to develop profitable trading systems.

But from the moment the book was released the equity lines of the two strategies mentioned in the book went down and never recovered.

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  #493 (permalink)
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Tom1978 View Post
I agree, the book contains a lot of good information for beginning and advanced traders.

The book describes what steps you have to take to develop profitable trading systems.

But from the moment the book was released the equity lines of the two strategies mentioned in the book went down and never recovered.

Thanks for the review.

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!


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  #494 (permalink)
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kevinkdog View Post
Thanks for the review.

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

Kevin,

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?

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  #495 (permalink)
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trendisyourfriend View Post
Kevin,

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?

Thanks for the question. I stopped updating the book strategies a few years ago. I'd say more, but I do not want to self promote.

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  #496 (permalink)
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Fat Tails View Post
It is interesting to know who are the guys you are playing against. It also will prevent you from ascending the Mount Everest with a pair of sandals.

What did you mean by this?

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  #497 (permalink)
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smtlaissezfaire View Post
What did you mean by this?

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.

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  #498 (permalink)
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Fat Tails View 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.

Thanks for the recommendations.

How do you think that compares to Harris - "Trading and Exchanges" ?

https://www.amazon.com/Trading-Exchanges-Market-Microstructure-Practitioners/dp/...is&qid=1581921707&sr=8-1

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.

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