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Great insight here. By chance I happened to be reading about LTCM's collapse earlier today, with a large emphasis on their quantitative risk-management approach. Just to clarify, your saying that your friend stated that the quants at the firm believe in what they are doing and that it works, yet in reality, it has no relation to the reality of the world/markets. Or were you saying that the quants believe in what they are doing to an extent, but they accept it truly cannot control risk or foresee unseen things in the world?
Absolutely. Mathematics is a beautiful thing due to the definitive answer it can provide. But when you are attempting to predict something that hasn't happened yet, with information that is not fully known, you simply can't say with complete confidence that your models will hold true.
Which books are you referring to specifically? I will look them up.
Option Trading: Pricing and Volatility Strategies and Techniques
Volatility Trading
Algorithmic Trading: Winning Strategies and Their Rationale
Quantitative Trading: How to Build Your Own Algorithmic Trading Business
I believe I will be going with
Trading Systems and Methods, + Website by Perry J. Kaufman
Based off of the remarks by @sodytaxas and various reviews online it seems to be a strong book.
The book seems to be based off of trade station coding / metastock. I will not be working with either of those platforms/languages, but instead, C++.
I contacted the author and he seemed to be very helpful in translating from the given examples (tradestation/metastock) to C++ code.
Can anyone else confirm what he is saying? Specifically SodyTexas, could you make use of the given examples even though you may have been using a different platform?
If anyone knows any other books of this nature please feel free to continue mentioning them.
I don't see any issue at all. After All, Tradestation & Metastock language is called easy language because its meant to be easy. once you get past some of the nuances of the language the logic is easily understood.
My suggestion though is to avoid C++ like the bubonic plague. It is such a old language now, and it will rely on heavy coding that most languages have simple solutions for. If you know C++ try out C#, it plays so much nicer with .Net and Java.
What platform are you using? Or did you make your own?
Also, if you are really serious about being a quant download R (free) or buy Matlab. They will become your best friend. Ninjatrader is my platform of choice, with CQG or Continuum data. Don't be fooled by its name, it is a professional system (not friendly with options or spread trading) ; but, robust with its flexibility to code in it. Plus there is no API issues that you have to mess with, Ninjatrader handles all the API depending on the broker you are using. All you have to do is code..
Cheers,
SodyTexas
"The great Traders have always been humbled by the market early on in their careers creating a deep respect for the market. Until one has this respect indelibly engraved in their makeup, the concept of money management and discipline will never be treated seriously."