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A must to read BOOK(s) on Algorithmic Trading... (Read 55858 times)
qroach
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #15 - 01/28/09 at 08:31:01
 
statstrader wrote on 01/27/09 at 22:51:17:
System A has captured an underlying order in system B (the index it is applying rules on).


What does it mean?
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #16 - 01/28/09 at 11:26:53
 
startrader, I am afraid that in your example pears are compared with apples. Why did you "punish" System A by assigning zero returns to non-existent trades? The P-value from your t-test is artificially distorted. Your variances are off as well as you padded your distribution and thus changed its statistical properties. If you reduce your sample space of A to align with B (less XXX set of zero returns), you will get your perfect P-value (provided sufficient numbers of observations). Your variances could then be assumed to be equal as well.

If the variance of your "signal" and its sample size set cannot, for one reason or another, be assumed to be equal to those of B, depending on your set-up, you might consider using Welch's t-test. Irrespective of the type of t-test you are employing (I am stating the obvious here), you are making a fundamental assumption that your population is actually normally distributed. The Central Limit Theorem is a powerful thing, but with a small subset of observations your model metrics can get seriously distorted.
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Re: A must to read BOOKs on Algorithmic Trading...
Reply #17 - 01/28/09 at 11:43:54
 
Co0olCat wrote on 07/15/08 at 11:58:30:
Gençay, R. et al (Authors), May 2001, Academic Press

An Introduction to High-Frequency Finance (Hardcover)
http://www.amazon.com/Introduction-High-Frequency-Finance-Ramazan-Gen%C3%A7ay/dp...


A friend of mine highly recommended this book today. I thought I would mention it again.  :)
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #18 - 01/28/09 at 16:31:48
 
This is great because everyone so far has pointed out inherent flaws in the technique and in essence agreed with my argument; that it is flawed.  I hope everyone has read, Evidence Based TA, by Aroonson, because that is the context we are discussing.

Now, regarding some of your arguments on the simple T-test and potential flaws, there is no problem with creating a system in real life with padded don't cares, since in reality that is what we do.  We are not always in or out of the day's action.  In fact, it is exactly the way that the book approaches monte carlo permutation, to assign a -1, 0, or +1 randomly, to the underlying data and use this in a basic hypothesis type test of the system (A here) vs. a chance based system, to determine if the system is significant at 5% or less.  According to the author, all of the systems he tested failed in this criteria.  I have shown one example whereby it does not apply.
How many others are there?

You can remove the padded zeros pairs as well, and in this case it will still not be significant, since the means are both around zero.  I did kind of cheat a bit on variance (+11% day), but that was to prove another point about what the market actually throws us.

We could take it a step further and generate lots of data via bootstrapping or monte carlo, then generate a sampling distribution to test the means, but I'm doubting it will affect the results much.  It is clear from my premise that hypothetical system A must be significant given hypothetical index B, one simple example in a universe of many.  

Hopefully, we can stay on topic, and rather than point out the pit falls inherent in the example, point out specifically how the book we are discussing addresses or is not pertinent for testing these issues.  Maybe this needs a new spin-off thread on its own as I know this was a must read book thread. Smiley

BTW, system A is not punished.  It is actually rewarded by skipping random signs.  But I get your point.
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« Last Edit: 01/28/09 at 17:32:49 by statstrader »  
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #19 - 04/08/09 at 05:41:37
 
Hey..
Just joined the group..

Looks like there arevery few books on Algorithmic Trading.
However I have mostly been able to adapt the "generic" fund management plicies and startegies to our work.

Money Management part is definitely a very important part which i found out once we got into action. We had not given it much importance though had taken it into consideration. Ryan Jones is a good one on that.

Regarding other startegies part, Kissell's papers are great. One bookt hat stands apart are the ACME trader book. It basically started me intot his field.

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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #20 - 01/12/10 at 13:52:36
 
Check out Jack Schwager's interviews with Ed Seykota and Larry Hite in the book "Market Wizards". They're old school programming guys who made history.
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #21 - 02/14/10 at 02:30:44
 
Electronic and Algorithmic Trading Technology, The Complete Guide by Kendall Kim doesn't seem to have good readings. In order to know if its a good book, I guess I should check it out at the book store.

To be honest, I don't think there are many good in depth books for trading out there. Majority of them are pretty basics or doesn't really describe complex systems that professionals may be using nowadays. Rather most of them teach you the the basics which is not enough to work on a strategy, but I could be wrong.

If anyone would like to argue against my standing, please send me a PM. I'd like to hear more from you people. I admit though that I fairly new to trading but I have looked at a few books trying to learn it. I hope to make it my profession when I graduate from college therefore I am very willing to anyone who wants to constructively criticize my point of view and can provide a viable argument and some resources to back it up.

I look forward to hearing from you guys!
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #22 - 03/03/10 at 16:14:48
 
I'm afraid I put my post in the (general forum). I've spent some time writing 'Algorithmic Trading and DMA' which is now available from amazon.com.

My background is more software development than trading, so the book works from the ground up (from the fundamental market and order types through to execution strategies, cost analysis etc .

The book tries to collate all the relevant research into one place, and marry this with the some of the more practical aspects of real markets.
As far as I can see there is nothing else out there at the moment which covers this in as much detail. Hopefully people will find it useful. An in-depth preview is available from my website www.algo-dma.com
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #23 - 03/03/10 at 21:36:59
 
b wrote on 03/03/10 at 16:14:48:
I've spent some time writing 'Algorithmic Trading and DMA' which is now available from


Looks good. 2 copies on their way to the office.

Sorry about your mom.
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #24 - 03/05/10 at 00:26:35
 
b wrote on 03/03/10 at 16:14:48:
I'm afraid I put my post in the (general forum). I've spent some time writing 'Algorithmic Trading and DMA' which is now available from [url=http://www.amazon.com
...


I have just purchased my copy as well. Your Mum's story is very sad. Thank you very much for supporting the noble cause.
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #25 - 03/16/10 at 10:09:28
 
I have received the book. It is very well put together. Many thanks!
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #26 - 03/19/10 at 10:18:32
 
Thanks, I'm glad you like it. I hope you find it useful.
I didn't post sooner since just after you bought the book amazon decreased the price to $39 (sorry - i have no control of this)

Please feel free to spread the word, I think word of mouth is the best chance I have for sales.
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #27 - 03/19/10 at 11:34:54
 
I am roughly 20% through the book. I appreciate the amount of effort you put into it and I can see that what you presented is backed by real-life experience. I have certainly spread the word as well.
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #28 - 03/19/10 at 15:09:38
 
cheers!
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Re: A must to read BOOK(s) on Algorithmic Trading...
Reply #29 - 05/14/10 at 12:21:14
 
Algo Designer wrote on 03/19/10 at 11:34:54:
I am roughly 20% through the book. I appreciate the amount of effort you put into it and I can see that what you presented is backed by real-life experience. I have certainly spread the word as well.


I second that. The best book on algo trading written to date.
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