Book recommedations on Algo trading and backtesting

Discussion in 'Automated Trading' started by cafeole, Nov 1, 2020.

  1. cafeole


    I have 2 of Ernest Chan's books on Algo Trading (I do not have Machine Trading).

    I am looking for a book more on the practical side of developing a trading app for
    providing trading signals.

    I am looking at the following two books:

    Trading Systems and Methods (Wiley Trading) 6th Edition
    by Perry J. Kaufman (Author)

    Systematic Trading: A unique new method for designing trading and investing systems
    by Robert Carver

    Anyone have these and can tell me what you think?

  2. Hi cafeole,

    I have both those you mention, and recently just bought and read the Chan books after being recommended them on my Journal thread by another member.

    The Carver book you noted, plus his other 'Leveraged Trading' are great books. I definitely got more from 'Systematic Trading' from an introductory, understanding and planning point of view.

    I am still working my way through 'Trading Systems and Methods'. It's the like the bible of algo trading, has every strategy flavour you could think of and more. Expensive, but a keeper; I think that's a book I'll dip into often for guidance, it's pretty meaty and detailed.

    Hope that helps.
    cafeole likes this.
  3. ValeryN


    Rob Carver has a journal on ET in case you will like his book. Fully Automated Futures Trading.

    Howard Bandy has few good books. Mean reversion is the easiest one to understand. The rest I'd say are quite advanced.

    My own journal where I write about automated trading - Fully Automated Stocks Trading

    ffs1001 and cafeole like this.
  4. cafeole


    It does, thanks.
  5. cafeole


    Thanks for the recommendations. I have been following your journal with interest. Thanks for sharing. It is what inspired me to start looking seriously into algo.

    BTW, I bought the Bensdorp book per your journal. I like it very much.
    Last edited: Nov 1, 2020
    ValeryN likes this.
  6. MarkBrown


    kaufman smarter trading - all you need to know.
    murray t turtle and angrytrader like this.
  7. cafeole


    I don't mind advanced if the info I am looking for is there. If you had to get just one, which one would you recommend?
  8. cafeole


    I saw your comment on another thread and have already ordered the book.

  9. ValeryN


    Did you think of thinking writing your own apps?

    Some components of automated setup are more or less the same.
    You basically need:
    1. High quality data for backtest
    2. High quality backtest
    3. A strategy with realistic fill / cost assumptions, not overfit
    4. Some way to generate setups you gonna be watching (often done daily)
    5. Some way to automated entries intraday which will have take your setups as an input
    6. Some way to manage a trade (in a simplest form - close on certain conditions)
    7. Some way to generate meaningful reports
    There are very different ways to approach this.

    Many people will probably be better off using some existing platform like MultiCharts or TradeStation. As they both will provide some degree of testing, generating setups and executing.

    There are could be legitimate reasons not to use them. Let's say you already have a strategy and you know they don't support what is required to run it or commissions structure they will imply might kill it. In some cases, you might be better off adopting your strategy to their limitations as your cost/time of creating your own setups will eventually run pretty high.

    Most books will focus on only few of the components I mentioned. Mostly they are either about a strategy or a backtesting or execution or something else.

    I haven't read it myself but heard Rob's book guides thru automation required to run his strategy. That would make it fairly unique.

  10. cafeole


    I do have a lot more experience writing software than trading. However, I prefer not to reinvent the wheel. I am considering purchasing AmiBroker for backtesting.
    #10     Nov 1, 2020