Good and bad books on strategy design?

[Kiwi-Trader]

Quote from jcl:

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.

I Have never seen Thorpe's matrix? in witch book did he release it ?

 

[Emilio_Lizardo]

Quote from jcl:

I use ... Thorpe's covariance matrix for distributing the capital among strategy components.

You might have a look at Patrick Burns' (frequent contributor on Quant Finance Stack Exchange) Portfolio Probe blog for code to apply shrinkage methods to that matrix. Raw historical covar matrix is pretty unstable. What you really want is the expected instantaneous covar matrix -- the historical matrix, no matter what the look-back, is a poor estimator of that.

 

[Kiwi-Trader]

Quote from Emilio_Lizardo:

You might have a look at Patrick Burns' (frequent contributor on Quant Finance Stack Exchange) Portfolio Probe blog for code to apply shrinkage methods to that matrix. Raw historical covar matrix is pretty unstable. What you really want is the expected instantaneous covar matrix -- the historical matrix, no matter what the look-back, is a poor estimator of that.

Thank you Emilio_Lizardo I will look into that

 

[oilfxpro]

All the books are rubbish !

 

[Albert Cibiades]

Quote from oilfxpro:

All the books are rubbish !

Can we generalize to "All TRADING books are rubbish?" What a waste of time and money and hope compared to diligently watching markets evolve in real time.

 

[oilfxpro]

Quote from Albert Cibiades:

Can we generalize to "All TRADING books are rubbish?" What a waste of time and money and hope compared to diligently watching markets evolve in real time.

95 % fail after read crap from these trading books!After reading crap , place a bet using the junk science material , then lose .

 

[zdreg]

Quote from intradaybill:

Why do you think anyone here cares about what you have read and how you have misunderstood any of those authors, since you have already exhibited beyond any doubt that you have no idea of what you are talking about?

the op is doing the correct action in posting the list of books he has read. you give info you get info. there are too many takers on ET. they usually end up being ignored.

 

[zdreg]

Quote from Albert Cibiades:

Can we generalize to "All TRADING books are rubbish?" What a waste of time and money and hope compared to diligently watching markets evolve in real time.

most of the contents are rubbish but if you get a good idea or two from it it becomes a worthwhile read.

 

[oilfxpro]

Quote from zdreg:

most of the contents are rubbish but if you get a good idea or two from it it becomes a worthwhile read.

What about the crap 98 % , the shit put inside your phsyche from theses crap writers which costs you dearly?

 

[justrading]

Quote from oilfxpro:

What about the crap 98 % , the shit put inside your phsyche from theses crap writers which costs you dearly?

Believe nothing, test everything and above all look to amalgamate good ideas to develop an approach or method that works for you as an individual.

Unfortunately I do not know a way to instant riches.