Hello Elite Automated Traders. Could any of you recommend a tome on the subject of trading system development, more specifically the trading not automating aspects? Ideally it would cover backtesting techniques and statistical analysis of trading systems. Thank you in advance for any help on this subject and as always for the lively banter on all topics.
Difficult to cover all aspects (backtesting and statistical analysis) in one book. You should find what you want in those 2 books : - "Design, Testing and Optimization of Trading systems" by Robert Pardo (for the backtesting part) - "Evidence Based Technical Analysis" by Aronson (for the statistical part) JC
The Encyclopedia of Trading Strategies http://www.amazon.com/Encyclopedia-...2734569?ie=UTF8&s=books&qid=1192537209&sr=1-1