1 Machine Learning for Factor Investing R Version
by Tony Guida; Sep 1, 2020
2 Algorithmic Trading: A Practitioner's Guide Paperback – by Jeffrey M Bacidore; July 20, 2020
3. Machine Learning for Algorithmic Trading: Predictive models to extract signals from market and alternative data for systematic trading strategies with Python, 2nd Edition Paperback – July 31, 2020
by Stefan Jansen
- this is the best one for 2020 from my reading list.
For newbie Algo traders. Free
a great introductory algo book written by a real trader & well-respected hedge fund mgr, who divulged some of his most profitable strategies
Trading Evolved: Anyone can Build Killer Trading Strategies in Python Kindle (free)
by Andreas Clenow
for "super duper theoretical" oriented Volatility/VIX options traders:
Euan Sinclair's book is still the best; a classic vol trading book, requiring super smart math background to comprehend 👌
"Volatility Trading, 2nd edition April 1, 2013"
by Euan Sinclair
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why "volatility always came in clusters"? people ask
50% fundies & 50% technicals:
1 fundies/shocking-news triggering the first wave spike
2 people not prepared for the shock, scramble to buy protections
3 sell risky assets
4 rotate to safe-havens
6 which in term trigger the over-leveraged weak-hand longs, hitting stop loss levels & margin calls- 3d wave
7 risk-parity funds portf rebalance due to sudden plunge in risky assets. trimming
#2 of 3
8 60+% of commodity/futures leveraged funds, employing momentum/trend based strategies w/ trend detection & stop-loss levels for flipping to short, got flipped, huge force to the dn side: 5th wave