1. New Trading Systems And Methods – Perry Kaufman; New Trading Systems & Methods provides a comprehensive overview of trading systems, systems testing, money management and risk management education. The book provides chapters dedicated to each type of method to be used in trading, such as momentum systems, trend following systems, regression systems, time based systems etc. and many more in an encyclopedia like fashion. It includes each systems reasoning, method of use, and provides implementable examples of each. It also is full of information on how to appropriately implement, evaluate, measure performance, and analyze trading systems. This book is great for getting ideas and methods of developing your own system.
2. Quantitative Trading Strategies – Lars Kestner; Quantitative Trading Strategies begins with a complete historical background on quantitative systems trading, and builds the book chapter by chapter teaching the reader how to create a trading system following a scientific process and then how to correctly asses evaluation and optimization of trading strategies. Kestner also presents many profitable trading systems that can be used and implemented by the reader in the financial markets. This book goes into specific details in the design and creation process of algorithmic trading systems.