Hello All,

New here and I've read all the books above and many more, so hopefully I'll be able to add some useful discourse. Regarding, Evidenced based TA, one problem I have is that by bootstrapping each daily data bit, you are losing any inherent properties in serial correlation. He acknowledges this a bit on his site, but doesn't go much farther. Serial correlation is the foundation of most modeling strategies, such as econometrics and time series, and removing it takes away from the information content IMO. Personally, I prefer to sample larger sequences of data when bootstrapping (even then, you are removing some dependencies).

Also, I didn't think the 1st book had much to do with algorithmic trading. I think it would be interesting to have an objective definition of algorithmic trading, considering the site name

While I don't have a precise one, the book that best truly describes what algorithmic trading is, has the title, "electronic and algorithmic trading technology, the complete guide," by kendall kim.

Similar to the descriptions the book covers, I consider algorithmic trading to be more of a method to break up liquidity and find ways to efficiently and stealthily process orders without making an impact on the market. Unfortunately, many of those methods, such as third party exchanges are not available to small traders.

Otherwise, regarding trading systems and methodology, I might stick more to quantitative trading.

Great start on the forum and hopefully it attracts the best, brightest, and most humble (if that's possible).