Books to learn algorithmic trading.

Written By Laron

I believe in going deep on a topic. There is more value in being an expert in a niche field than being a novice in the entire field. For this reason, I have prepared a concise list of books that have made the most impact on my algo-trading development. I’ve read these books cover to cover, more than once. Every time I read these books I’m at a different point in my trading career, different messages stand out, and I get insights about different things. I encourage you to do the same.

Disclaimer: These are not affiliate links or sponsored posts.

Standing on the shoulders of Giants.

Trading Edges

Trend Following:

  1. Turtle Traders - Michael Cowel

Mean Reversion:

  1. Mean Reversion Systems - Howard Bandy

  2. Short Term Trading Strategies That Work - Larry Connor & Cesar Alvarez

Breakouts & Momentum Trading Strategies:

  1. The Chartist - Nick Radge

Variety:

  1. Trading Systems and Methods - Perry Kaufman trading systems

Algorithm Development

  1. Building Winning Algorithmic Trading Systems, + Website: A Trader's Journey From Data Mining to Monte Carlo Simulation to Live Trading - Kevin Davey

  2. Algorithmic Trading: Winning Strategies and Their Rationale - EP Chan

Strategy Analysis

  1. The Evaluation and Optimization of Trading Strategies - Robert Pardo


Not trading related but my general approach to work

  1. Deep Work: Rules for Focused Success in a Distracted World - Cal Newport

  2. Lean Startup - Eric Ries

Laron
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