Book recommedations on Algo trading and backtesting

[cafeole]

What Bandy is saying is surprising because CTAs and especially Turtles made billions trading non stationary prices with trend-following systems and in fact it was the non stationary prices (trends) that provided the profits.

He points out that the Turtle method worked in an environment of higher inefficiencies in the market. Today's markets are are much more efficient. He actually says the Turtle method will not work today.

He is also mostly talking about machine learning algos. They DO need stationary data to work. So, as Val said, we need to break down the data into time splices that will be more stationary than long time slices (like years).

 

[PoundTheRock]

 

[raddo]

It’s not a book per se, but I can point you to Quantpedia - The Encyclopedia of Quantitative Trading Strategies.

It’s a database of ideas for quantitative trading strategies derived out of the academic research papers (from research portals, financial journals, universities etc.), interesting papers are selected and performance and risk characteristics and trading rules in plain language are extracted.Subset of strategies is backtested and you can review out-of-sample chart, statistics and code written in QuantConnect framework …

 

[sef88]

You may look at Robert Carvers's Leveraged Trading too.

 

[MarkBrown]

checking back you rich yet?

 

[Kust]

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

Is it really good?

He talks a lot about Fibbonacci and Elliot, and it undermines my confidence

 

[ph1l]

Is it really good?

He talks a lot about Fibbonacci and Elliot, and it undermines my confidence

Yes. It's much more comprehensive than just Fibonacci techniques and Elliot waves.

From the Back Cover
"If I could only have one book on the markets in my library, this would be it. Perry Kaufman is at the top of my pedestal for his innovative research and market expertise. This new edition is one of the most relevant works out there."
― Linda Raschke, President of LBRGroup, Author of Trading Sardines: Lessons in the Markets by a Lifelong Trader

"It has been more than 30 years since we first discovered the 1st edition. Since then, our readers have enjoying and benefited from each new edition and are always impressed with easy-to-understand explanation of the important and universal contents about trading systems. We strongly recommend this book for our members and Japanese investors."
―Kakuya Kojoh, Chairman & Akihiro Niimi, Vice Chairman, The Nippon Technical Analysts Association

"Perry has done it again! This Sixth Edition has been thoroughly updated to make it the most comprehensive resource covering technical analysis available anywhere. It should be on the bookshelf of every trader, from beginner to professional."
―John F. Ehlers, President, MESA Software

"Perry's book is key in helping to answer the age old question of when to buy and when to sell. A must read for anyone who invests."
―Michael Pallitto, Financial Advisor

 

[cafeole]

checking back you rich yet?

I made more today than ever.

 

[MarkBrown]

I made more today than ever.

very happy you are doing well!

i wish i could stress how important "smarter trading" has been to me.

m

 

[cafeole]

very happy you are doing well!

i wish i could stress how important "smarter trading" has been to me.

m

I was trying to be funny. Today is Thanksgiving. We just moved to another state last week and I haven't had a moment to explore the books and try to implement anything.