Evidence-Based Technical Analysis

What Hacker News says

1. smrtinsertDec 2021
   Evidence-Based Technical Analysis is a starting point (book), but iirc it was able to show most common indicators aren't able to reject the null hypothesis.
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2. akg_67Jun 2021
   /r/algotrading

   - Trading Evolved, Andreas F. Clenow

   - Systematic Trading, Robert Carver

   - Developing & Backtesting Systematic Trading Strategies, Brian Peterson

   - Algorithmic Trading, Ernest P. Chan

   - Algorithmic Trading and DMA, Barry Johnson

   - Trading Systems, Emilio Tomasini & Urban Jaekle

   - Evidence-Based Technical Analysis, David R. Aronson

   - Machine Learning for Algorithmic Trading, Stefan Jansen

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3. jkqwzsooDec 2018
   I'm far from an expert. I don't trade professionally (i.e. I don't derive my income from it), and I'm a chemical engineer by day.

   I think the best resource for anyone starting out investing would be "A Random Walk Down Wall Street" (Burton Malkiel), and maybe "The Intelligent Investor" (Benjamin Graham), even if you don't intend to be a traditional value investor. I think these books (I'll admit I haven't read all of The Intelligent Investor) set your expectations. I also listen to Masters in Business, Odd Lots, and P&L podcasts by Bloomberg (P&L is more short-term, while MiB and Odd Lots are more generally applicable). Both of those books might be floating around the internet.

   I also really enjoyed "The Physics of Wall Street" (James Weatherfall). It's a look into how financial mathematics got started and how it has grown and been increasingly applied in modern finance.

   If you're interested in options and other derivatives (I find derivatives to be the most interesting, and least arbitrary, financial product), I'd start with John Hull's "Options, Futures, and Other Derivatives", which is a textbook at maybe the sophomore or junior level. I hear the PDF is freely circulated online. I think understanding how options and futures work is essential for understanding finance. A slightly more technical text, "Dynamic Hedging" (Nassim Nicholas Taleb) is also good (and maybe also available online somewhere...). It is less philosophical and polemic than his other books, but doesn't resist calling you an idiot either, as is Taleb's style.

   You might also find work on non-ergodicity (Ole Peters), the Kelly criterion, universal portfolios (Thomas Cover, 1991), and Ed Thorpe (a mathematician who derived a precursor to the famous Black-Scholes model) of interest (Ed Thorpe is an incredibly interesting person in his own right). If you find yourself wanting to get into technical analysis, I'd recommend "Evidence-Based Technical Analysis" by David Arons (a spoiler: the evidence is not good). If you're interested in ML applied to trading, I keep seeing references to Advances in Financial Machine Learning (Marcos Lopez de Prado), although I haven't actually read it.

   Regarding other financial products, CME has a large number of resources available for understanding futures trading, although futures are generally too high value for regular traders to use safely (the highly liquid /ES contract controls ~$130,000 exposed to the S&P500 and allows one to take about 22x margin, or even as high as 250x for intraday trading). Similarly, there are some nice introductions to the forex market, but again I'd caution you to stay away. And as much as I'd similarly caution you about blindly following their advice (and in general about being a "volatility seller"[1,2] -- see Taleb's book), TastyTrade produces a ton of videos on options trading (particularly retail options trading), which include the mechanics of options trading and how their trading platform works (which is similar to TD's platform -- the CEO/Founder, Sosnoff, was involved in the development of it when he was at TD). You can download TD's ThinkorSwim and paper trade options, or just "preview" their application with delayed prices and see how options work.

   Finally, rather than r/wallstreetbets (which is now 99% low quality memes and loss porn), I'd recommend checking out r/options and r/thewallstreet, which are more professional forums, and potentially forums such as EliteTrader and Nuclear Phynance as well.

   [0] https://www.bloomberg.com/news/audio/2018-12-07/why-part-of-...

   [1] https://www.bloomberg.com/news/articles/2018-11-29/broker-se...

   [2] https://www.bloomberg.com/news/articles/2018-02-06/credit-su...

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4. remypJun 2017
   Evidence-based Technical Analysis by David Aronson is a great intro.
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5. davidkellisOct 2014
   Evidence-Based Technical Analysis - David Aronson ; Chapters 4 and 5 give a very accessible explanation of statistical inference through the use of sampling distributions. It's an excellent book.
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6. rfurlanNov 2011
   Books I would recommend for beginners:

   Evidence Based Technical Analysis: http://www.amazon.com/Evidence-Based-Technical-Analysis-Scie...

   Pairs Trading: http://www.amazon.com/Pairs-Trading-Quantitative-Methods-Ana...

   Quantitative Trading: http://www.amazon.com/Quantitative-Trading-Build-Algorithmic...

   An Introduction to High Frequency Finance: http://www.amazon.com/Introduction-High-Frequency-Finance-Ra...

   Trading and Exchanges: Market Microstructure for Practitioners: http://www.amazon.com/Trading-Exchanges-Market-Microstructur...

   I also wrote a couple of very introductory articles, sadly I never got past part #2: http://www.bitcortex.com/2008/12/28/pragmatic-automated-trad... http://www.bitcortex.com/2009/01/04/pragmatic-automated-trad...

   I am could mentor 1-2 HN readers that are serious about getting into quant trading. Just let me know you are interested :)

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