Good and bad books on strategy design?

Quote from oilfxpro:

What about the crap 98 % , the shit put inside your phsyche from theses crap writers which costs you dearly?
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trust but verify.
ronald reagan. 40th president of US

i guess women really play with your head.
 
A few more books can be added here:

a) Technology for Trading in the New Millenium
Its review is here: http://www.elitetrader.com/bo/index.cfm?action=view&B_ID=106&CatID=3
You can have a look here also: http://tradersstudio.com/Products/t...cmd/CatalogItemDetails/psmid/657/Default.aspx

b) Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies
Read more here: http://www.amazon.com/Cybernetic-Trading-Strategies-State-Art/dp/0471149209
You can have a look here also: http://tradersstudio.com/Products/t...cmd/CatalogItemDetails/psmid/657/Default.aspx

Please note that both the above books are available on the TradersStudio website in the links given above and they are "autographed books", meaning personally signed by Mr. Murray Ruggiero. Moroever, if you order the books directly from the TradersStudio website, you can email Mr. Murray directly regarding the books and you will surely get a response too.
 
Good thread.

Another great read is Trading Systems by Jaekle and Tomasini. It basically lays out the entire process of designing, testing, overfitting and then correcting the overfit of a forex trend system. Really good stuff that confirms what you've already found if you've been there already, but nice to see others come to the same conclusion.

It comes to the inevitable conclusion that it is possible to run a portfolio of algos and make money, but you can never trust them!

In other words, "system trading is ultimately discretionary"

:eek:
 
Quote from Wide Tailz:

Good thread.

Another great read is Trading Systems by Jaekle and Tomasini. It basically lays out the entire process of designing, testing, overfitting and then correcting the overfit of a forex trend system. Really good stuff that confirms what you've already found if you've been there already, but nice to see others come to the same conclusion.
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The "spectacularly failing strategy" from the thread below is the trend system described in that book. Fortunately for the book, it was released before the system started to fail.

http://www.elitetrader.com/vb/showthread.php?s=&threadid=242134

Aside from that, I have to agree that the book was good to read.
 
Quote from TraderSystem:

A few more books can be added here:

a) Technology for Trading in the New Millenium
Its review is here: http://www.elitetrader.com/bo/index.cfm?action=view&B_ID=106&CatID=3
You can have a look here also: http://tradersstudio.com/Products/t...cmd/CatalogItemDetails/psmid/657/Default.aspx

b) Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies
Read more here: http://www.amazon.com/Cybernetic-Trading-Strategies-State-Art/dp/0471149209
You can have a look here also: http://tradersstudio.com/Products/t...cmd/CatalogItemDetails/psmid/657/Default.aspx

Please note that both the above books are available on the TradersStudio website in the links given above and they are "autographed books", meaning personally signed by Mr. Murray Ruggiero. Moroever, if you order the books directly from the TradersStudio website, you can email Mr. Murray directly regarding the books and you will surely get a response too.
More...
If any one is getting the above add this book to your order
: Inside Advantage Back Issue Collection
You can order it from Traders Studio web site, full of good infomation:p
 
As someone who is just getting started with trading, I didn't find the post trolling at all. I don't care what someone's opinion is about a book. I appreciate the fact that someone is posting that the book just plain exists. I can then determine if it's worth my time.

I actually find the complaints, the insults and the nasty comments the real waste of time. If you don't like his post, then stop reading.
 
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?
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I just read the content of Ruey S. Tsay, Analysis of Financial Time Series., it should be a very difficulty to understand math book, but I believe it is definitely how the bank/ibank predict but just make it even much more complicated maths.
 
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