Good and bad books on strategy design?

[dom993]

- 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.

 

[goodgoing]

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?

 

[dom993]

Quote from goodgoing:

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?

Who cares about your opinion? Why not quietly ignore the threads of no interest to you?

 

[dom993]

Not my account equity curve, just backtesting results for one of my (few) automated trading systems.

Market: CL
Timeframe: 100-vol

 

[jcl]

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.

 

[indicator777]

I recommend the book "Holy Grails for Dummies", by Dick Fuchs

Read it please and do as he says.

 

[Kiwi-Trader]

Quote from jcl:

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.

 

[clearinghouse]

Quote from jcl:

What is your trading bible? Can you recommend some books with good ideas and concepts for developing trade strategies?

I'll start - here are some books that I've read in the past months and can recommend:

Ruey S. Tsay, Analysis of Financial Time Series. Introduces all important mathematical models of price series.

David Aronson, Evidence-based Technical Analysis. Excellent, maybe a little too elaborate book about trader misconceptions and about testing trade strategies.

Ernest P. Chan, Quantitative Trading. Quite informative book with many practical advices about strategy development.

John F. Ehlers, Cybernetic Analysis for Stocks and Futures. Trading with signal processing methods.

Some other books that were recommended to me, but I found them not really useful:

Thomas Carr, Micro-Trend Trading for Daily Income. Contains some funny stories, but all micro-trend systems described in this book already fail in a simple backtest.

Michael Harris, Profitability and Systematic Trading. Mostly trivialities, even some wrong or misleading statements. Only the last chapter about price patterns is a little better.

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.

John J. Murphy, Technical Analysis of the Financial Markets. Was recommended to me as a classic, but is just a lengthy and uncritical description of technical indicators without insight in their theory or performance.

Disclaimer: I'm not related to any of the authors and get no share of their book sales...

Can you recommend (or advise against) other strategy books?

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.

 

[Kiwi-Trader]

Have u read Thomas Stridsman ...Trading Systems that Work? I found part 3 on exits quite handy

 

[jcl]

Quote from Kiwi-Trader:

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'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.