if you want a book on systems and system design, Trade Like a Hedge Fund, by me, is pretty good and I think is still very applicable.
The Farley book for systems development?? sorry, hypo... have to disagree with you there. The Kaufman books by far. Use easyguru's list above as a very good starting point.
I read the first Stridsman book and found it horrible: pedantic and sophmoric. I agree with the more scathing reviews on Amazon. In addition to Kaufman, Conway, LeBeau, and Katz, I might add Quantitative Trading Strategies by Lars Kestner -- he seems to be about on the same level, which is not necessarily good -- and Design, Testing, and Optimization of Trading Systems by Robert Pardo. Most "systems" writing publicly available looks at common indicators, MA crossover, RSI, "stochastics," etc., areas that are so picked over they are unlikely to produce anything of value. I suspect that the work being done by quant groups at investment banks looks a lot different from the stuff produced by the books referenced above. For one thing it would be much more statistically based and would probably involve more sophisticated securities, such as synthetics or paired securities. Basically, you want to look for pockets of inefficiency and MA crossovers and fib numbers just don't do it. That nothwithstanding, it is still important to understand over-optimization and robustness.
I purchased Murray Ruggiero's Technology and Trading Book with his video at Christmas. The book is a collection of his Futures Magazine articles and covers most any topic you would want to study in technical analysis and system development. (There may even be a few topics you don't want to learn about!) It contains dozens of fully disclosed systems. I have tested several of them to see if they were still valid. Some were originally published several years ago and I was surprised to find that they still made money in testing since publication. The code is mostly in TradeStation EasyLanguage so I was able to type it in from the book. I like Perry Kaufman's book, New Trading Systems and Methods. (I own an older edition.) I also like John Murphy's Intermarket Analysis work for those interested in intermarket studies. ( I own both editions.) I have spent a lot of money on books, but these are some of my better investments. Unfortunately, I have not found all of the pieces to the puzzle of successful trading in one book. It is best to take the best from several sources and create your system a piece at a time. Good trading,
Sludge, You're saying you're good at math. You might be interested in: Applied Quantitative Methods for Trading and Investment Christian L. Dunis (Editor), Jason Laws (Editor), Patrick Naïm (Editor)
Ok so... Design, Testing and Optimization of Trading Systems by Pardo - gives a good introductory framework Trading Systems that Work by Stridsman - for performance measures and integration Also Trading Systems and Money Management by the same author, not as good as the first one but useful Professional Stock Trading by Conway - excellent introduction to writing efficient code.Lots of useful infos in there Encyclopedia of Trading Strategies by Katz - good overview of different models and classifying them Couple of another books that can be useful are Beyond Technical Analysis and Computer analysis of the futures market by Lebeau If you are interested in indicator models, you can also consider Mechanical Trading Systems by Weisman There are a few more but these will help you get started.Good luck
Ah, a handle "newly acquired"! May we assume that you will be simplifying trading ideas by painting pictures for us?
Stoxtrader, You might be interested in this free e-book http://www.library.cornell.edu/nr/bookcpdf.html
NoWorries, thanks for the link. Here's the book I posted about previously... Object-Oriented Implementation of Numerical Methods: An Introduction with Java & Smalltalk (The Morgan Kaufmann Series in Software Engineering and Programming) by Didier H. Besset http://www.amazon.com/gp/product/1558606793/104-2880998-8359917?v=glance&n=283155 And source code based on the book... http://sourceforge.net/projects/dhbnumerics/ Stoxtrader