Learning thought process between trading strategies?

I am going to be attending university soon, and have some time to kill, so want to build a trading algorithm. I already built one, completely winging it with a fluffy 'pattern' recognition algorithm. I would like to get a feel for some real algorithms:

Is there a resource that walks through some trading strategies and the thought process behind them (why they work, why they may not, limitations etc)? Ideally basic maths only (such as linear regression etc) seeing as I only have a pre-university mathematical education.

I feel like this would be a good way to be able to start evaluating the markets for myself and start developing / tweaking my own strategies.


Comments (4)

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  • Consultant in PropTrad


Elements of Statistical Learning has consistently been a staple rec to me with regards to a statistical approach to trading. This book isn't trading focused, but you can learn a lot of applications that are used in real trading. 

With regards to finding a resource that walks through trading strategies that work, don't work, you're going to have a hard time finding them, this would be every firm's "secret sauce" so to put it and no one would be incentivized to advertise what gives them the edge. 

QuantStart also offers books on algo trading strats but I think you have to pay for them. Can't comment on how effective they would be but I can at least comment the author of this website is very knowledgeable and well experienced in the Quant industry. 

M-2 Monkey, what's your opinion? Comment below:

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