Starting Points for Systematic Trading Strategy Research
Summary
The document addresses how a technically capable beginner can move from trading infrastructure and market knowledge toward designing strategies. It describes strategy as a broad category, ranging from simple rules based on price gaps to models using statistical or mathematical methods, and asks how researchers generate and evaluate ideas.
The answers recommend beginning with systematic trading fundamentals, then studying forecasting and strategy design through established trading texts. They also point to resources on algorithmic trading, market microstructure, limit order books, portfolio management, and machine learning. One response warns that poorly designed backtests can lead to mistaken conclusions about performance. These are reading recommendations rather than a step-by-step research process, and the document supplies no comparative evaluation of the books or evidence that any particular approach will produce profitable strategies.
Key ideas
- Strategy design can range from simple trading rules to statistical and mathematical models.
- A beginner can build on programming and market knowledge by studying systematic trading fundamentals.
- Recommended reading spans forecasting, algorithmic trading, market microstructure, portfolio management, and machine learning.
- Poorly designed backtests can lead researchers to infer performance incorrectly.
- The document offers resource suggestions, not a validated strategy-development procedure.
Tags
Full text
# Basics of trading strategy development # Basics of trading strategy development I am Computer engineer and I know programming in python, go-lang, C++, I am interested in trading, I know how to make system to get data, send orders, back-test, fault-tolerance system, etc I have understanding of how the market works, its jargon, terms, methodology, basically I know how to trade. What basically I am missing is the most important part - strategy . On going through various books, blogs, articles I come out to know that strategy is a very vague term and lot many are teaching their specific chart patterns, candle-stick patterns, indicators, statistical models, etc It can mean as simple as buy/sell when gap up/down, or complex using higher mathematics. What basically I am looking for is the guidelines or the proper book or article, where a beginner like me in this field, can know where to start designing strategy or what is really a strategy. How these peoples come up with ideas? Is there such a book or resource material exist? Or, its all ideas and plans which one learns with experience only and for starting one has to do search online for ideas and modify these online available ideas to make it work. Please forgive me if what I asked is confused question because I am really is confused about the strategy design. ## Answer by ltrd (score 5, accepted) https://quant.stackexchange.com/a/53384 It is good for beginner to start with fundamentals. It can be a book "Systematic Trading: a unique new method for..." by Robert Carver (2015). Then it is good to read/listen to Ernest P. Chan, really great advisor and writer. And after that you will be able to inference for yourself about new strategies and forecast generators. ## Answer by develarist (score 4) https://quant.stackexchange.com/a/53447 For introduction to algo trading, market microstructure, limit order book data, also be aware of errors strategists make when inferring performance from naive poorly-designed backtests, - Kaufman (2013) Trading Systems and Methods - Kissell (2014) The Science of Algorithmic Trading and Portfolio Management - de Prado (2018) Advances in Financial Machine Learning - Abergel et al (2013) Market Microstructure ## Answer by Hamish Gibson (score 3) https://quant.stackexchange.com/a/53471 Hands on Machine Learning for Algorithmic Trading by Jansen is a good book too. Granted, whilst it focuses more on the ML side and is a rather thick book, it has great depth and explanation on some libraries used too.
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