Recommended Books for building trading algorithms

Notice I didn’t write 10 books you have to read to make millions of dollars in the market. That just seems a little click-bait/Buzz Feedy. Unfortunately, from a data scientist/ SEO perspective that would have been the more profitable. 

As we all suffer through covid-lockdown I just put together a list of books that I have read that I believe have shaped my understanding of markets and have molded my investment philosophy. I think bigger-picture books such a The Big Short and Black Swan are far more important than technical books.

Creating algorithms and or trading strategies is something that I believe starts with the creative process, maybe just staring at charts for hours or losing a lot of money. I’m lucky, I’m a self-taught coder and I can implement my strategies without getting caught up in whether my code is object-oriented and if I have the correct classes etc. I always say that the code is the easy part, it’s finding a good strategy that is hard part.

So these are some books that I have enjoyed and maybe you will too as well. If you have any recommendation, please leave them in the comments as I’m always looking for something to read / listen to. 

Books that shaped my investment philosophy or possible continue to shape my philosophy strategy.

The Creature from Jekyll Island: A Second Look at the Federal Reserve by G. Edward Griffin
The Warren Buffet Way by Robert G. Hagstrom, jr.
How Technical Analysis Works by Bruce m. Kamich
The Black Swan By Nassim Nicholas Taleb
Beating The Street By Peter Lynch
The Big Short by Micheal Lewis
Flash Boys by Micheal Lewis
Confession of an Economic Hit Man by John Perkins
A mathematician plays the stock market by John Allen Paulos

Here are some other books, that I have read that but am not giving an a full endorsement. I especially disliked “Random Walk”, but that seems to be Wall Street favorite.

Malcolm Gladwell and Freaknomics books are good audio books and generally pretty easy to consume quickly:
The Tipping Point by Malcolm Gladwell
Blink by Malcolm Gladwell
Outliers by Malcolm Gladwell
What the Dog Saw: and Other Adventures by Malcolm Gladwell
Boomerang by Micheal Lewis
Freakonomics by Steven D. Leviit and Stephan J Dubner

The Intelligent Investor: The Definitive Book on Value Investing by Benjamin Graham

Academic / Text Books
Option Volatility & pricing by Sheldon Natenberg
The Complete Guide to Option Pricing Formulas By Espen Gaarden Haug (This book is great for the formulas)

High-Frequency Trading by Irene Aldridge (Probably outdated and really that good.)

Music Books

5 Replies to “Recommended Books for building trading algorithms”

  1. Hi! Thanks for sharing. Interested to know what approach you took to back test. Did you rely on a framework such as “back trader” or did you manually generate with libs such as pandas. And what do you employ to create the bot itself?

    1. I don’t seem smart enough to use a backtesting frame work. (It might have saved me time.) However I have been writing algo before back testing frameworks existed so that might be the problem. I also find it easier for me to write the backtest myself, that way I can expand as required and I have no restrictions or limitation on what I want to do.

      I don’t use pandas. I would like to. However as far as I understand pandas works great for backtesting. When I go to take that backtesting code and turn it into a live trading script, pandas doesn’t ingest live streaming quotes as well. It could be that I don’t fully understand pandas.

      The actual “bot” is just an API call using a REST API or using the SDK from Interactive Brokers.

      1. NIce website, and a solid book list.

        Also, I can assure you that backtesting frameworks, in one form or another, long pre-date any interest you may have had in the stock market!

        1. LOL, I only look young. I have be involved with stocks since they published them in the newspaper. Then I had to call them into Quick & Reilly.

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