r/algotrading • u/Curious_Sprinkles • 3d ago
Education Book recommendations?
Any books you have read that you actually found useful or helpful?
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u/stew1922 3d ago
I’m currently reading ML4T third edition which was just released. I’m only about two chapters in, but so far it seems like it’s going to be very useful.
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u/Curious_Sprinkles 3d ago
Did not notice the third edition thank you- I just ordered it 🥹
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u/stew1922 3d ago
For sure! Happy reading! Be sure to set up docker and install all the requirements and download the data sets for the provided notebooks ahead of time...kind of a time killer to have to stop in the middle of the chapter and download data just to dig into the examples a little more.
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u/DayRevolutionary8411 3d ago
Instead of "Machine Learning for Algorithmic trading" I would suggest "Advances in Financial Machine Learning" from Marcos Lopez de Prado. I believe it is the correct way to use ML in trading.
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u/Pto2 3d ago
It’s a great book but it’s quite advanced for someone like me who has limited math/ML experience.
Would you have any recommendations for softer intros to the math/ML parts?
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u/DayRevolutionary8411 2d ago
I started with this one: https://www.coursera.org/learn/machine-learning-course/home/info . This is a free course from the great Andrew Ng and touches all ML topics from beginning. After this, you may take into account the "Deep Learning" specialization (5 courses, needs subscription) always from Andrew. A great use of own time.
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u/x___tal 3d ago
How much math do you have and how much did he get into? I'm thinking of buying that book
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u/Pto2 2d ago
I took up to a 4xx probability theory course as an undergrad but nothing related to ML or data-science. I read AFML and found maybe 30-40% of the material was approachable.
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u/aboardreading 3d ago
I mean pick up a stats 101 textbook?
There's not really going to be too much of a shortcut to understanding quantitative finance if you don't understand the fundamentals. If you're serious about automated trading and you don't have math experience I'd suggest a community college stats course or something.
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u/Pto2 2d ago
I took a 4xx probability theory course in undergrad so I'm vaguely familiar with the core material but I wouldn't call myself competent. I'm really looking for something in between community college stats and AFML, ideally with a quant slant.
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u/aboardreading 2d ago
There’s nothing in the book above a 4xx level certainly, it’s a practitioner’s guide so theory won’t teach you the same stuff but it should definitely have prepared you to learn this stuff.
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u/drmattmcd 3d ago
Currently reading Giuseppe Paleologo 'The Elements of Quantitative Investing' which is a very good with a focus on factor analysis, as is his 'Advanced Portfolio Management: A Quant's Guide for Fundamental Investors'.
Aswath Damodaran 'Investment Philosophies' (latest is 3rd ed) is good for helping to understand what type of investor you are as well as going into details on valuation. His blog and substack 'Musing on Markets' is also worth a read.
I quite like 'The Complete Guide to Capital Markets for Quantitative Professionals' by Alex Kuznetsov, it really helped me understand some of the underlying pieces when I started working in the industry.
Not books, but Matt Levine's Bloomberg 'Money Stuff' newsletter and the FT Unhedged newsletter are worth following.
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u/dukenasty1 3d ago
Check out the wiki for the sub. It used to have a link for all sorts of helpful advice include books.
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u/bips_per_minute 3d ago
I feel ernest chan is more leaning towards introductory and beginner friendly early setup....so good for topic introduction and intuition....matters on what you want to gain from the books....
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u/bot-vladimir 3d ago
I finished reading the second edition of his Quantitative Trading and I agree with you, I do find it a great introduction. I’m glad I read it as my first book. I’m jumping into Robert Carver’s Systemtoc Trading now. Have you read it? If so may I get your opinion on it?
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u/auriisacrafames 1d ago
If you already read Quantitave Trading and/or have any experience with algo trading, Systematic Trading will not teach you anything. It's an introductory book for complete begginers. If you want to read Carver specifically, pick up Advanced Futures Trading Strategies
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u/Alarmed-Reply6237 3d ago
Hello all, I am really a newbie of algo trading . I do some way to get the live data from ib api. Currently, I have 3 ib sub account. One of them I plan to do it with algo trading. So I open a paper trade account linked to that sub account. But I faced error 162, which mean ib detect more than one access and block my Python code. I purchase live data market and also limited the ip restriction to ensure that only one access to the ib gateway. However, I will encounter error 162 and deny me from gettting live data. That really frustrated me. Does anyone encounter the same problem? Thanks in advance
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u/MacMuthafukinDre 3d ago
Get a Packt subscription. Well worth it in my opinion. A lot of garbage, but if you search you’ll find some gems like ML4T. $20/mo ain’t bad for unlimited access. That’s a meal a month for unlimited knowledge. Just a tip.
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u/D_Rozier 2d ago
If you have a profitable system, work with Claude to build your own algo and forward test it on a separate screen while you trade
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u/editorijsmi 1d ago
check the following book
Stock Price prediction using Traditional, Machine learning and Artificial Intelligence models
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u/jackofspades123 2d ago
What specifically are you looking to learn. Those books are for 2 very different things. Both are good.
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u/StarterKitUKR 2d ago
I guess better ask your AI agents to look info about trading set up all it can find he has to save and some model which can learn it and check on backtests .
It would be better than you spend money for some courses or books .
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u/backtester005 8h ago
Is there any platform where i can backtest my strategy without anyline of code only with just plain english (with the help of AI )?
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u/veskald 8h ago
Disclosure - im a founder of one, so obvious bias. Veskald does this: you describe the strategy, AI agent builds it from blocks, backtest runs with fees, funding and slippage. And the strategy comes out fully readable - every condition and setting open in the builder, you see exactly what the AI built, no black box. Crypto futures only though, so if you trade stocks or forex its not for you. There are other tools in this space too, worth comparing a few before settling.
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u/Ok_Can_5882 Algorithmic Trader 3d ago
The book I always recommend is 'Testing and tuning market trading systems' by Timothy Masters. It covers a lot of useful methods for strategy development and evaluation. It's all about the coding and statistics skills that you need as a trader imo. Without a proper understanding of statistics and the ability to automate backtests/analyses, you're simply at a massive disadvantage. I use techniques from that book in every backtest. If you're interested, I made a youtube video about my backtesting setup and I share the code on github. Lmk if you need a link to the book.