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bl82
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Thanks to Ravi and others for keeping this thread going, which I started over a year ago. Ravi, I particularly appreciated the references and pointers that are specific to systems development.

Coming off of my worst month in a long time (on the heels of a great 1.5 years -- so don't worry), I am even more convinced than ever that money management, position sizing and risk management are my personal holy grail. For those that feel similarly or even wonder if they need to look at these things more closely, I highly recommend Trading Risk by Kenneth Grant.

Perhaps more importantly, I have started keeping track of what I have read in the past two years or so in a more methodical fashion and have come up with the list below. These book recommendations are books I have recently read and are loosely grouped into categories, with similarities in each group. Each book has two ratings -- based on a 10 point scale -- my (highly subjective) assessment of value for a beginning trader followed by my assessment for an experienced trader.

A relative newbie should probably proceed from the top group down as far as they can continue to get value, but, personally I'd make the top 11 required reading at the outset and suggest that among the others, you don't wait too long to read Mamis, Bulkowski and Grant, in particular.

Also, expect to reread many of these books as your knowledge base grows and you are able to pull different nuggets out of them.

Finally, you will find some bias here as it relates to my being an active trader (in addition to a LT investor) who focuses largely on position trading and has been using more T&A over the past few years.

Introduction and Context
Market Wizards: Interviews with Top Traders (Jack Schwager) – 10/8
The New Market Wizards: Conversations with America's Top Traders (Jack Schwager) – 10/7
Stock Market Wizards: Interviews with America's Top Stock Traders (Jack Schwager) – 10/7

Anecdotal / Historical

How I Made 2,000,000 in the Stock Market (Nicholas Darvas) – 9/5
Reminiscences of a Stock Market Operator (Edwin Lefevre) – 9/9

High Level, How To: The Short List
Fooled By Randomness (Nassim Taleb) – 9/8
Trade Your Way to Financial Freedom (Van Tharp) – 9/9
Technical Analysis of the Financial Markets: A Comprehensive Guide to Trading Methods and Applications (John Murphy) – 9/6
Japanese Candlestick Charting (Steve Nison) – 8/8
The Successful Investor: What 80 Million People Need to Know to Invest Profitably and Avoid Big Losses (William O’Neil) – 8/6
High Probability Trading (Marcel Link) – 9/9

High Level, How To: The Second Tier
Trader Vic--Methods of a Wall Street Master (Victor Sperandeo) – 8/8
How I Trade for a Living (Gary Smith) -- 7/6
Trend Following: How Great Traders Make Millions in Up or Down Markets (Michael Covel) – 6/5
The Education of a Speculator (Victor Niederhoffer) – 7/7
Practical Speculation (Victor Niederhoffer) – 6/6

Detailed Individual Approaches

Fire Your Stock Analyst: Analyzing Stocks On Your Own (Harry Domash) – 8/5 …OR…
...Screening the Market (Marc Gerstein) – 8/5
How to Take Money from Wall Street: Learn to Profit in Bull and Bear Markets (Tony Oz) – 8/7
Trade Like a Hedge Fund: 20 Successful Uncorrelated Strategies & Techniques to Winning Profits (James Altucher) – 7/5
The Logical Trader (Mark Fisher) – 7/7

Too Often Overlooked: Managing Exiting Positions
When to Sell (Justin Mamis) – 9/9
It’s When You Sell That Counts (Donald Cassidy) – 8/8

Risk Control and Money Management
Trading Risk: Enhanced Profitability through Risk Control (Kenneth Grant) – 8/9

Value Investing Bible
The Intelligent Investor (Benjamin Graham) – 8/8

Thought Starters
The (Mis)Behavior of Markets (Benoit Mandelbrot) – 7/7
Devil Take the Hindmost: A History of Financial Speculation (Edward Chancellor) – 7/7
The Alchemy of Finance (George Soros) – 6/7

Reference and Miscellaneous
Encyclopedia of Chart Patterns (Thomas Bulkowski) – 7/8
Stock Trader's Almanac 2006 (Yale & Jeffrey Hirsch) – 7/7
Choices, Values, and Frames (Daniel Kahneman & Amos Tversky) – 9/9
Fortune’s Formula (William Poundstone) – 7/7
The Vital Few vs. The Trivial Many (George Muzea) – 7/6

Options

McMillan on Options (Lawrence McMillan) – 7/8
Option Volatility & Pricing: Advanced Trading Strategies and Techniques (Sheldon Natenberg) – 5/9

Of Marginal Value…
A Mathematician Plays the Stock Market (John Paulos) – 5/3
The Master Swing Trader: Tools and Techniques to Profit from Outstanding Short-Term Trading Opportunities (Alan Farley) – 4/5
Swing Trading (Jon Markham) – 5/4
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Edit 3 times, last edit by bl82 at Aug 17, 2006 10:03:30 AM
Aug 17, 2006 9:32:08 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
rannaswamy
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Wow! Outstanding list, thank you!
Aug 17, 2006 9:39:30 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
jerrodmason
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Ravi, That was one of the best posts I've seen on this board. It should go in the knowledge base. Good work, my friend. Brian

Brian, I agree. Unfortunately, Ravi's post is buried in a discussion of best books, where it may be difficult for people to stumble across.

A year ago I suggested that the forum software should allow members to recommend posts, as is done on many other discussion boards. Then users could sort a listing of posts by number of recommendations. The cream would rise to the top without the need for Marco's intervention. See this feature request
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The smart money was on Goliath.
"He's not the Messiah. He's a very naughty boy."

Aug 30, 2006 1:47:34 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
KAR
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Way of the Turtle: The Secret Methods that Turned Ordinary People into Legendary Traders

http://www.amazon.com/Way-Turtle-Methods-Ordinary-Legendary/dp/007148664X

Interesting book by and about Curtis Faith, apparently one of the more successful of the Turtles. Forward by Van Tharp.

The trading system the Turtles were taught was trend following (eg of indexes and commodities and currencies, ...) but I found it also helpful for thinking about P123 due to discussion about adjustable position sizing, importance of following system even for massive drawdowns, diversification, and Average True Range
May 26, 2007 1:13:06 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
Stittsville123
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

It is my understanding that the trend following Turtle system never worked on stock index futures.

Steve
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Stitts Wealth Management - SP400+SP600 / LT TBonds
Stitts Wealth Management - DJIA / Gold
May 26, 2007 8:31:29 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
KAR
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Just One Thing - Twelve of the World's Best Investors Real the ONE Strategy You Can't Overlook, by John Mauldin, editor

http://www.amazon.com/Just-One-Thing-Investors-Strategy/dp/0471738735

Each chapter is written by an experienced investor, many with 30+ hard-won years of experience. Much of the writing is heart-felt - they share what is most dear to them. I suspect that many P123 users would also be able to write equally powerful chapters.

I was struck by Dennis Gartman's contributions. For him personally, his advice was "Never, every under any circumstance, should one add to a losing position ... not EVER! " He compared that rule to the Real Estate Rule of "Location, Location, Location and felt it underlies survivability in the investment business long-term.

This is important for instance to the real-life question of what is best approach to scale in more real money into P123 ports. P123 SIMS currently must take postion of being either neutral on this matter or optionally simulate buying more of stocks that have fallen at Rebalance, but are still of sufficient rank. While I realize such a test would not include the important strengths of ranking that P123 offers, I am wondering if anyone is aware of academic studies or has ever backtested elsewhere to compare the approaches: (1) Add more to winning position, (2) Add more to losing position eg "Buy on Dip" and, (3) Stick with position until replace with new stock (P123 approach)

Thank you.
Jun 7, 2007 9:07:05 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
olikea
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

It is my understanding that the trend following Turtle system never worked on stock index futures.

Right, actually a lot of traders who tried to make the move from commodities to stocks complained that the movement of stock prices is highly random, and doesn't trend very much.

I read a book "how markets really work" recently with some data in it that shows counter trend trading is a much better idea, at least in the short term.
Jun 7, 2007 2:23:10 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
budonk
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

For a full treatment of the subject, you may want to download "A Quantitative Approach to Tactical Asset Allocation "

ie Long term trendfollowing on stock indexes works, but probably not in the manner you would expect.
Jun 7, 2007 3:28:53 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
jerrodmason
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Hi, Budonk. The link in your last post isn't working. Truncated at http.
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The smart money was on Goliath.
"He's not the Messiah. He's a very naughty boy."

Jun 7, 2007 5:35:20 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
bl82
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Re: Most Influential Books / Recommended Reading List Reply to this Post  Reply with Quote 

Here is the correct link for A Quantitative Approach to Tactical Asset Allocation

FWIW, the author, Mebane Faber, also has an excellent blog: World Beta
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http://vixandmore.blogspot.com/
"Your one stop VIX-centric view of the universe..."
Jun 7, 2007 10:46:41 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
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