Almost Two Years Later...

It’s been almost two years since I wrote the last (and first…) post.

I’ve been meaning to write for a while now, but I’ve been busy with work and life. Switching jobs in a different stack, being made redundant from said job, starting a new job in the old stack, moving back to my home country for the foreseeable future… You know, the usual.

Well, I’m back now, no more excuses!

What have you been up to?

Glad you asked!

It’s been a long time so naturally a lot has happened since. I’ll take the time to recap the main books and courses I’ve done in the last two years.

This is not a comprehensive list, but the ones I’ve found most useful and impactful. I’ve read a bunch of other books around the maths side of things, but I won’t go into them here unless there’s interest.

In this blog post I’ll cover the ones I’ve finished, and in a next post I’ll cover the ones I’m still working on.

Quantitative Trading by Ernest P. Chan

Right, let’s pick up from where I left off in the last post.

The first book I read on the topic was this one. The reasons why I chose it are mentioned in the last post so I won’t get into them again.

This was an odd book, not because it wasn’t great, it was quite good and I enjoyed the writing overall, but I wasn’t sure who it was for.

The first parts of the book are a great introduction to Quantitative Trading, just like the title suggests. I also remember it being quite good at setting expectations right. It mentions common pitfalls and how to avoid them, although at this point this didn’t make much sense to me, it was a nice way to ease into the topic.

The later parts of the book are a bit more advanced (for an introduction to Quantitative Trading) and at this point I felt like the book was aimed at someone else. While the topics definitely made sense, the content was not as accessible as it probably could have been.

My only real complaint would be the lack of exercises or practical examples. I understand that the author is trying to keep the book focused on the big picture, but I think a few more examples would have helped. And some of the examples were not easy to replicate or had issues.

Conclusion: I enjoyed the book, it’s a decent first book, the author it’s quite reknowned from what I’ve read. I’ll definitely go back to it at some point to revisit those later parts. Especially because this book is included in my O’Reilly subscription.

Leveraged Trading by Robert Carver

Leveraged Trading by Robert Carver is a great book. If you’re starting out and want a quickstart at building semi-automated or fully automated trading systems, this is the book for you.

Sure, it’ll make a lot of assumptions, and it won’t get into the details of certain formulas (they are simply fed to you), but if you follow the instructions you’ll end up with a simple working system.

Another great think is that the capital required is pretty low, around £1,100 (at least when compared to his first trading and the next one I’ll discuss which is £100,000), so it allows us to actually test the system. See his blog post about this book’s release.

It took me quite a while to get through this book, mainly cause I wasn’t familiar with a lot of the concepts and terminology. But after I was done I went through my notes again and implemented the system in Python and using Oanda as the broker (I chose Oanda mainly because of how easy it is to use the API, happy to do a deep dive on this if there’s interest).

I’ve seen some criticism of this book around how it takes some shortcuts, but it’s necessary, otherwise it’d be a massive book. I prefer the approach the book takes where it gives you just the necessary information to build the system.

One thing I’d do different, is to start semi-automatic, where we do the analysis and calculations in Python, but the actual trading is done manually, this would have meant that I’d focus on learning the actual process of making trades and understanding the markets and its fluctuations.

However, in a true Software Engineering fashion, I started by building the system itself as opposed to the strategy, this led to a lot of toil to get the code working and deployed.

Conclusion: great book, if you’re a Software Engineer with some statistical knowledge, this is a great book to get you started. If your goal is to learn the finance side of algorithmic trading, focus on only automating the analysis and calculations, and then manually make the trades.

Systematic Trading by Robert Carver

I actually bought this book first, but I very quickly realised I was way in over my head. And the capital requirements were also a problem, even if I had had the money, I was not prepared to trade that amount, I’m still not ready to this day.

It was actually very demotivating having to take a step back, but it was necessary.

However, after Leveraged Trading, and having built a few systems based on it, I went back to this book and it made a lot more sense. Which gave me hope.

This book is more advanced than the previous one, and a lot more general, this book is more focused around creating your own strategies, so it’s a great follow up to the previous book. There’s some techniques you can apply to it, especially around the risk management side of things.

Similar to the other book, a lot of the formulas are fed to you, there’s no deep dive into the maths. I think I’d have liked to see more of that taking into account that the book is a natural successor to the previous one. But that also would have made the book a lot more difficult to digest.

This is a book that even though I finished studying it (different from just reading it), I’d still need to go back, sit down, go through my notes again and apply the concepts to the systems I’ve built. This warrants its own detailed post.

There’s a recent book (at the time of writing) by Robert Carver himself, called Advanced Futures Trading Strategies. I’m keen to go through it, but I’ve got such a massive backlog of books to get through, I’m not sure when I’ll get to it. Maybe this will go into more detail on the formulas and maths behind them.

Conclusion: It’s a nice follow up to Leveraged Trading, not everything is applicable to the systems I’ve built, but the overall structure is there and it’s a good reference. The techniques are quite simple and easy to implement.

In-progress resources

I don’t want to make a massive post, but at the same time I’d like to share as much as I can so you can make a decision on what to read.

So I’ll leave the in-progress resources for the next post, but here’s the list of resources I’m currently working through:

• Trading Evolved by Andreas F. Clenow
• Trading Systems by Emilio Tomasini and Urban Jaekle
• Robotwealth
• PQN Pro

Until the next one!

As mentioned, this is not all I’ve done, I’ve had to do some serious side googling to learn about certain topics and concepts, Obsidian has been great for this, I’ll do a future post on how I’m using Obsidian to study and how it’s been really helpful.

And that’s enough for this post, thanks to everyone who has read my posts so far, I’m hoping to give more value soon to you all!

In the next post I’ll elaborate on the resources I’m currently working on, I’m focusing more on the practical side of things.

Let me know if you want me to elaborate on any of the resources I’ve covered so far.

See you soon!