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I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have understanding of how the market works, its jargon, terms, methodology, basically I know how to trade.

What basically I am missing is the most important part - strategy . On going through various books, blogs, articles I come out to know that strategy is a very vague term and lot many are teaching their specific chart patterns, candle-stick patterns, indicators, statistical models, etc

It can mean as simple as buy/sell when gap up/down, or complex using higher mathematics.

What basically I am looking for is the guidelines or the proper book or article, where a beginner like me in this field, can know where to start designing strategy or what is really a strategy. How these peoples come up with ideas? Is there such a book or resource material exist? Or, its all ideas and plans which one learns with experience only and for starting one has to do search online for ideas and modify these online available ideas to make it work.

Please forgive me if what I asked is confused question because I am really is confused about the strategy design.

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3 Answers 3

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It is good for beginner to start with fundamentals. It can be a book "Systematic Trading: a unique new method for..." by Robert Carver (2015). Then it is good to read/listen to Ernest P. Chan, really great advisor and writer. And after that you will be able to inference for yourself about new strategies and forecast generators.

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    $\begingroup$ I second the recommendation to read Ernie Chan's books. I haven't read the machine learning one but his earliest one is really good for ideas. There's never going to be secret sauce revealed in any book ( and academic papers usually don't include transaction cost ) but his book ( it's on amazon ) is the closest it gets to providing real ideas used in real strategies. $\endgroup$
    – mark leeds
    Apr 18, 2020 at 22:21
  • $\begingroup$ Thanks for recommending book Systematic Trading, it really cleared lot of doubts. $\endgroup$
    – dgfjxcv
    May 1, 2020 at 7:36
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For introduction to algo trading, market microstructure, limit order book data, also be aware of errors strategists make when inferring performance from naive poorly-designed backtests,

  • Kaufman (2013) Trading Systems and Methods
  • Kissell (2014) The Science of Algorithmic Trading and Portfolio Management
  • de Prado (2018) Advances in Financial Machine Learning
  • Abergel et al (2013) Market Microstructure
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  • $\begingroup$ thanks for the suggestion, i will go though all of provided books and will share , if it helps $\endgroup$
    – dgfjxcv
    Apr 20, 2020 at 11:08
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Hands on Machine Learning for Algorithmic Trading by Jansen is a good book too. Granted, whilst it focuses more on the ML side and is a rather thick book, it has great depth and explanation on some libraries used too.

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