Trading system design books suggestion

Discussion in 'Strategy Development' started by j2ee, Oct 16, 2012.

  1. j2ee


    Hi everyone, welcome to share any good book system design book for learning. There may be no perfect system that is written in any book but I believe there is always room for us to learn and improve.

    Let me share my recent reading:

    Trading Systems: A New Approach to System Development and Portfolio Optimisation

    My comment: A pretty good book that go through how to think system as a whole and what can we look at to evaluate a system. Bad thing is that I guess tradestation is a big supporter of this book and it always mentions and uses its function.

    The Complete TurtleTrader: How 23 Novice Investors Became Overnight Millionaires

    My comment: I believe most of the stories are true but the system may not work well in last decade since basically it is a big up and down within a range instead of a trended market. I have tested some simple trend system with Dow in last ten years but it wouldn't work well. I need to write my own code to backtest this turtle system (I believe this is the original version) and see if it works at all. I think this is a good example of a trading system and not a bad starting point to learn.
  2. Mr_You


    Reference this thread ... Search the forum for additional threads.

    I'm reading Robert Pardos "The Evaluation and Optimization of Trading Strategies".
  3. 2rosy


  4. Mr_You


    I'm also looking into:

    "Trading Systems: A New Approach to System Development and Portfolio Optimisation" by Emilio Tomasini and Urban Jaekle.

    Though it seems it doesn't go into walk forward optimization and testing analysis.
  5. j2ee


    The link mentioned:
    Robert Pardo, Evolution and Optimization of Trading Strategies. What he writes of strategy testing is correct and all his advices are good, but the > 300 pages could be easily compressed to 10 pages.

    I google Robert Pardo and he is definitely one of the very best system design style trader. Even the book may be simple, just go through it and see how he thinks and plans would be great.
  6. j2ee


    By the way, how do everyone think about Demark Indicators? Even he claims that it is very objective and should be "programable", but it is extremely hard to understand what he means in his books and seem like it is extremely objective. It would be great if someone can show some backtest result showing his indicators don't work well and it is more like a marketing money making thing by subscription.

    He claims he works with many best traders in the world and even have partnership with them. I guess it is only because those funds, traders can use his "indicators" or whatever magic ways to "explain" their "secrets" to win in market that they don't want anyone or government knows.

    On the other hands, those traders fame can help many people believe those indicators really work and buy those super expensive subscriptions and it is a lot of money every month.

    So it is a win-win for him and those famous people.

    By the way, check out all those "I am a fund manager in industry for 100 years and I am the best and I can tell you the demark indicators just work and roll" comments in amazon for his 3 books, all I saw is just a person has single review in their amazon account. These give me a great lesson about marketing!!!!

    Search for his bloomberg TV videos. The person keeps say " ho when I call him, he is talking with xxx fund manger"!!!!!
  7. j2ee


    The book will talk about walk forward optimization and testing analysis.
  8. j2ee


    I just read the thread, not a bad post:D
  9. j2ee


    I am reading "The Encyclopedia of Trading Strategies "
  10. Humpy


    If anyone is looking for a book to write then I would like to suggest a book devoted entirely to say understanding just one system like MT4 and writing a good system code for it.
    The generalized books are just too general to do anything useful with.
    #10     Oct 17, 2012