Useful Links

For starting system development after reading the Strategy Workshops, we recommend to visit the websites listed below - especially when you're a beginner to trading:

Investopedia - huge online glossary about trading.

Zorro User Forum - if you need help coding.

Financial Hacker, Robot Wealth - scripts, strategies, and experiments with Zorro and R.

Steve Hopwood's - trader forum with focus on algo development.


Useful Books

When traders can't make money with trading, they write trading books. Even some who do make money write books. Consequently, there are tons of books about trading methods and systems. The problem: publishers demand a minimum number of pages. Usually far more than needed for explaining the author's system. This forces him to fill the rest with platitudes, large lists, tables, charts, example trades, and other filler material. Fortunately, some trading books have real content inside. Here's a non-complete list of useful books about algorithmic trading and its mathematical background:

Murray R. Spiegel, Larry J. Stephens: Schaum's Outline of Theory and Problems of Statistics. Beginner's course into probability and statistics with lots of examples. Work through this book and you have all basic knowledge for understanding financial math.

Ruey S. Tsay, Analysis of Financial Time Series. If you read the Schaum's Outline book and hadn't had enough of mathematics, this is the hard stuff that introduces all relevant mathematical models of price series.

Ian Goodfellow, Yoshua Bengio, Aaron Courville: Deep Learning. Comprehensive introduction in modern concepts of machine learning, covering anything from linear algebra and statistics up to the structures and implementation of modern artificial neural networks.

Johann C. Lotter, Black Book of Financial Hacking / Das Börsenhackerbuch. Introduction to developing algorithmic trading systems and working with Zorro. Explains the basic algorithms behind the Z systems.

David Aronson, Evidence-based Technical Analysis. Excellent, but a little elaborate book about testing trade strategies. A classic.

Ernest P. Chan, Quantitative Trading. Insight in strategy testing and portfolio optimization with many practical advices.

John F. Ehlers, Rocket Science for Traders. Trading from an engineer's perspective with signal processing methods. Comes with source code for all trading algorithms.

Ralph Vince, Handbook of Portfolio Mathematics. How to allocate your capital in an optimal way among different assets and strategies.

Gary Antonacci, Dual Momentum Investing. A portfolio rotation system based on a strong empirical approach.

William R. Gallacher, Winner Take All. This book (from 1994) is a funny read and an intelligent insight into the trading scene and its gurus.

Robert Harris, The Fear Index. A must-read for any trading system developer.

If you can't read them all, get the Black Book and the books by Aronson and Chan. They give a good introduction into the strategy development process and its pitfalls without requiring a strong mathematical or technical background.

See also:

Zorro Home, What's New, Strategy Workshops

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