Best Book For Designing Mechanical Trading Systems
- Thread starter specialistlowe
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The books mentioned so far on this thread are, in my
opinion, completely valueless.
Try "Asset Price Dynamics, Volatility, and Prediction"
by Stephen Taylor, Princeton University Press, 2005
opinion, completely valueless.
Try "Asset Price Dynamics, Volatility, and Prediction"
by Stephen Taylor, Princeton University Press, 2005
Not a bad rec (and a great price), however, I doubt too many of the classic TA crowd will grasp much of it.
There's the TA crowd and the more quant oriented crowd; that title is geared more towards the quant crowd. Another more modern title with a similar slant is "Statistical Models and Methods for Financial Markets" by Lai/Zing.
Quote from pspr:
I have Babcocks book in my library but probably haven't looked at it in 15 years. I'm not a fan of Babcock but I guess I'll pull it out read it again on Art's recommendation. (No pun intended.)
The last time I tried to pull mine out the moment had passed before I could find it. I'm not saying the Babcock is a work of genius. But from my perspective ten years ago as a total idiot, I found it useful.
Thank you for saving me from rushing out and buying it. I absolutrely love the quant view that ever more elusive returns are to be found only through the subtlest of methods. I am here to tell you that complete dumb fucks can make money with simple methods and tools if only they will believe the unbelievable shit that they see happening every day.
What do you suppose the problem is? People won't believe their own eyes or make original observations, and only want to read about what someone has already observed or concluded about how to make money from trading? If it's in book, it must be right, and if it isn't in a book it must not be important because someone would have already written about it?
Thinking is hard work and watching the market is boring. Must easier to mindlessly peform endless back tests suggested in a book and let a computer do all the work.
Thinking is hard work and watching the market is boring. Must easier to mindlessly peform endless back tests suggested in a book and let a computer do all the work.
I can't tell you how many times I have worked with a hypothesis derived that people say works only to find out that when tested over a long enough time period with data with no survivorship bias, that it is worthless and in fact does not work to my satisfaction.
A lot of things that I thought would not work, surprisingly work...
There are simple things, things that are so easy to find that add massive amounts of alpha, and almost everyone ignores them.
I think the key is not to look for a written down strategy, but instead develop your testing methodology based on the scientific method, and then just start researching. You may get some inspiration to test something based on what you read in a book, but more than likely it is just a jumping off point to a wild path to discovery if you have the discipline to keep going.
A lot of things that I thought would not work, surprisingly work...
There are simple things, things that are so easy to find that add massive amounts of alpha, and almost everyone ignores them.
I think the key is not to look for a written down strategy, but instead develop your testing methodology based on the scientific method, and then just start researching. You may get some inspiration to test something based on what you read in a book, but more than likely it is just a jumping off point to a wild path to discovery if you have the discipline to keep going.
What aspects of the content make it superior with respect to designing trading systems?
I think people say, "Nooooo, that can't be happening, that's tooooo simple. The gap closed? Price retraced to yesterdays's midpoint? If it were that easy, everybody would be making money!"
You are spot on! Like round numbers. How fucking simple is that?