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Quantitative Trading - Recommended Books?


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Quantitative Trading - Recommended Books?

  #41 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
Experience: Advanced
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Limitless100 View Post
Hey everyone,

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 have coded most of the book in C# (Ninjatrader) so if you get stuck let me know. I will even dust off my old C++ books for ya..

"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."
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  #42 (permalink)
 
SodyTexas's Avatar
 SodyTexas 
Austin TX
 
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NoiseTrader716 View Post
Both books by Euan Sinclair and Ernie Chan would be good to start with.

Past that you probably want to get some exposure to probability and time series analysis.

Probability wise my fav is Kolmogorov's chapter in Mathematics: Its Content, Methods and Meaning. That is just as good as it gets.

Time series analysis, pick a programming language and get to work analyzing.

For probability analysis check out Ralph Vince.

"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."
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Last Updated on August 23, 2014


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