- Dynamic Trading by Robert C. Miner is my personal favorite. - Computer Analysis of the Futures Markets by Charles LeBeau & David W.Lucas is an (old) classic, very much into indicators-based systems.
Give 100 people the same book and 5% will claim is is the best they have read, 50% will claim it is average, 5% will claim it is garbage, and the remaining 40% will keep quite understanding that the less they talk the better it is for them. Do you people get the message or you will keep trolling forever? Who cares what you have read and what you thought about it? Do you have an equity curve to post? Some signals? Even luckyputanski in the journal section prefers to struggle with his large drawdown and posts trades. What are your intentions people here? To keep alive your presence and pump up your post count by posting your idiosyncratic understandings about what others write in books?
Not my account equity curve, just backtesting results for one of my (few) automated trading systems. Market: CL Timeframe: 100-vol
This thread seems to have some attraction for trolls. Nevertheless, another recommended book is "Portfolio Management" by Ralph Vince. He's written several books about that topic, but they have more or less the same content. Aside from his OptimalF reinvestment factor described in his books, they contain also some other useful formulas and ideas for maximizing profit.
Ralph Vaince has been hard at work have you seen his latest work???? Leverage Space Trading Model & Risk Oppotunity Analysis.....I find the fasanating.
I read Pardo's book too late in my career, but I really feel that if I had read that book 10 years ago, I would have done much better. I believe it is a worthwhile book to read.
I've read his latest work. He extends OptimalF to portfolio management by calculating the individual reinvestment factors as parameters in an optimization process. Unfortunately, this opens the whole can of worms connected to optimization, such as ending up on an unstable peak in parameter space. Therefore I do not like this approach, although it indeed theoretically generates the optimal result. At the moment, I use instead two different factors for portfolio management: Vince's OptimalF for reinvesting, and Thorpe's covariance matrix for distributing the capital among strategy components. This has the advantage of being easy to calculate, and seems to give fine results so far.