Reddit reviews Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals

Have you read this book? It talks a lot about the various errors that cause backtesting to produce better results than reality. Worth a look.

Some light reading to get you started on your way to be a quant:

Stochastic Calculus for Finance: The Binomial Asset Pricing Model

Stochastic Calculus for Finance: Continuous-Time Models

Stochastic Implied Volatility: A Factor-Based Model

Methods of Mathematical Finance (Stochastic Modelling and Applied Probability)

Pairs Trading: Quantitative Methods and Analysis

Alpha Trading: Profitable Strategies That Remove Directional Risk

The Encyclopedia of Trading Strategies

Evidence-Based Technical Analysis

(I just want to preface that I'm not a pro at this)

I think there might be a slight misunderstanding as to what a quant does, what algo developer does vs. what you seem to be interested in. Quants usually try to price derivatives or develop risk models. Although some algo promammers can be quants so there is some overlap, algos usually refer to High frequency trading which is very difficult and requires a lot of capital and knowledge that really isn't found in books (traditionally algo trading didn't refer to HFT but to trade execution such as vwap, iceburg stuff etc). You seem to be more interested in whats known as systematic trading.

Here's some resources you should check out:

Woodsheddar

Evidence based technical analysis

Bootstrap testing

I have some more info somewhere about pairs trading/cointegration, and statistical methods.

It is like any other job, if not harder. You are entirely responsible for your decisions here. No boss to complain of, no sabotaging co-workers to blame. Just you and your decisions. And it will demand your devotion beyond the 9-5 job. You'll be on charts and reading analyses during weekends, trying to understand the political environment surrounding the instrument you are trading. And still, you may (or will) fail. Markets gonna do what markets gonna do. The only variable in your control is your reaction to it.

To get a feel of what kind of stuff you would be dealing with, check out some books that have a more rigorous foundation for trading:

1. Evidence Based Technical Analysis
   
   
2. Introduction to Statistical Learning
   
   
3. Forecasting
   
   
4. A Primer For The Mathematics Of Financial Engineering
   
   The last one is not too important for Forex, but it is necessary to better understand other financial instruments and appreciate the deeper foundations of Finance.
   
   I think books 1 & 2 are absolutely necessary. Consider these as "college textbooks" that one must read to "graduate" in trading. May be thrown in Technical Analysis of the Financial Markets, so you get the "high school" level knowledge of trading (which is outdated, vague, qualitative and doesn't work). We are dealing with radical uncertainty here (to borrow a phrase from The End of Alchemy), and there needs to be some way for us to at least grasp the magnitude of what few uncertain elements we can understand. Without this, trading will be a nightmare.

xDerivative is speaking the truth. Most TA methods have been proven to be subjective and not profitable.

read this: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

> So basically a certification in unscientific hokum?

...One of the books in the CMT curriculum is literally titled, "Evidence-Based Technical Analysis: Applying the Scientific Method and Statistical Inference to Trading Signals".

Technical analysis arguably lends itself to objective scientific analysis far better than many fundamental analysis topics (Porter's Five Forces, etc.).

Here's an idea ---- refinance the mortgage to pay way slower.

Slap mortgage payments into your "easy-money-profit-o-matic"-

Weep when you find out you merely curve-fitted the past market.

Buy this book off Amazon if you have any spare change remaining:

http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

Evidence Based Technical Analysis

Good books:

http://www.amazon.com/Mechanical-Trading-Systems-Psychology-Technical/dp/0471654353/
http://www.amazon.com/Technical-Analysis-Financial-Markets-Comprehensive/dp/0735200661/
http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741/

For anyone wanting a slightly less harsh introduction to trading:

http://www.amazon.com/Beginners-Guide-Day-Trading-Online/dp/1593376863/


Generally, be prepared to find a lot of the technical stuff remarkably frustrating. A lot of is either expensive, has random constraints, or both. IB's standard platform is requires a graphical display, and exits automatically every 24 hours, for example. There's also a catastrophic lack of price feeds that are Linux compatible; IB can supply prices, obviously, but have a limited/paced historical data feed, and the only other Linux price feed I'm aware of, OpenTick, currently doesn't accept new accounts.

It's not impossible, but things are a lot trickier than you'd expect.

Here read this book first, it will tech you more about technical analysis than anybody here will. https://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741/ref=pd_bxgy_14_img_2?ie=UTF8&refRID=08N24WSYBNRE52ZNDVP4

this book?

Here you go:

https://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741/ref=sr_1_1?ie=UTF8&qid=1541847126&sr=8-1&keywords=Evidence-Based+Technical+Analysis%3A+Applying+the+Scientific+Method+and+Statistical+Inference+to+Trading+Signals

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I think most TA is bs, but it is worth checking out Evidence-based Technical Analysis by David Aronson if you are interested in the domain.

If you are serious about trading get yourself this book evidence based technical analysis by Aaronson. it is a great start into understand why we use EBTA for trading. Learn Python and R including project shiny. Then brush up on your pascal skills, javascript, c++. Most trading platforms use a slue of different programming languages - easy language for example is used by TradeStation ( one of the better platforms for automation ) easy language is a subset of pascal. It can be a bitch getting all the different languages talking to each other so also understanding window hooks and how data is stored might be necessary.

Paper trading is the right way to go until you have positive expectancy on your strats. If you don't beat the market by 51% it is pointless to not just trade the market. with the marble game and enough time staying above 51% it's just the law of large numbers.

I haven't worked on anything I didn't want to since 2012. And that includes losing a shit load of money in 2012. I am in a special position as in 2006 - 07 i was traveling and told my clients to put half their buying power into gold as I was away and had just for the first time put my strats into the water ( trading live ). I ended up spending two years away with my robots trading and half my clients money in gold no one lost more then 3% on their non gold side.That should answer your last question.

My friend,

I appreciate the long writeup. I would like to point out you are empirically wrong on a few points. TA does work, I know from experience, from others, etc etc. Trendlines are deceptive yes, they look too simple to be effective. However this is their strength. People may disregard them, but strong traders know they are still valid, enforcing their effects. This was a strong, basic and fundamental but strong, reason I knew the push to 550 on btce was a pump that was due for a correction, and we hadn't broken out.

BTW, this isn't really economics... and I agree with your point on it being zero sum, but why does that matter?

On your 50% theory, here is some evidence to the contrary http://www.amazon.com/Evidence-Based-Technical-Analysis-Scientific-Statistical/dp/0470008741

Oh and if you need more proof look at my twitter, I tend to be correct perhaps 3/4 - 7/8 times (although I just jinxed myself didn't I)

:)