Most Influential Books / Recommended Reading List

Manage
21

Wow! Outstanding list, thank you!

22

Brian, I agree. Unfortunately, Ravi’s post is buried in a discussion of best books, where it may be difficult for people to stumble across.

A year ago I suggested that the forum software should allow members to recommend posts, as is done on many other discussion boards. Then users could sort a listing of posts by number of recommendations. The cream would rise to the top without the need for Marco’s intervention. See this feature request

23

Way of the Turtle: The Secret Methods that Turned Ordinary People into Legendary Traders

http://www.amazon.com/Way-Turtle-Methods-Ordinary-Legendary/dp/007148664X

Interesting book by and about Curtis Faith, apparently one of the more successful of the Turtles. Forward by Van Tharp.

The trading system the Turtles were taught was trend following (eg of indexes and commodities and currencies, …) but I found it also helpful for thinking about P123 due to discussion about adjustable position sizing, importance of following system even for massive drawdowns, diversification, and Average True Range

24

It is my understanding that the trend following Turtle system never worked on stock index futures.

Steve

25

Just One Thing - Twelve of the World’s Best Investors Real the ONE Strategy You Can’t Overlook, by John Mauldin, editor

http://www.amazon.com/Just-One-Thing-Investors-Strategy/dp/0471738735

Each chapter is written by an experienced investor, many with 30+ hard-won years of experience. Much of the writing is heart-felt - they share what is most dear to them. I suspect that many P123 users would also be able to write equally powerful chapters.

I was struck by Dennis Gartman’s contributions. For him personally, his advice was "Never, every under any circumstance, should one add to a losing position … not EVER! " He compared that rule to the Real Estate Rule of "Location, Location, Location and felt it underlies survivability in the investment business long-term.

This is important for instance to the real-life question of what is best approach to scale in more real money into P123 ports. P123 SIMS currently must take postion of being either neutral on this matter or optionally simulate buying more of stocks that have fallen at Rebalance, but are still of sufficient rank. While I realize such a test would not include the important strengths of ranking that P123 offers, I am wondering if anyone is aware of academic studies or has ever backtested elsewhere to compare the approaches: (1) Add more to winning position, (2) Add more to losing position eg “Buy on Dip” and, (3) Stick with position until replace with new stock (P123 approach)

Thank you.

26

It is my understanding that the trend following Turtle system never worked on stock index futures.

Right, actually a lot of traders who tried to make the move from commodities to stocks complained that the movement of stock prices is highly random, and doesn’t trend very much.

I read a book “how markets really work” recently with some data in it that shows counter trend trading is a much better idea, at least in the short term.

27

For a full treatment of the subject, you may want to download "A Quantitative Approach to Tactical Asset Allocation "

ie Long term trendfollowing on stock indexes works, but probably not in the manner you would expect.

28

Hi, Budonk. The link in your last post isn’t working. Truncated at http.

29

Here is the correct link for A Quantitative Approach to Tactical Asset Allocation

FWIW, the author, Mebane Faber, also has an excellent blog: World Beta

30

“Your Next Great Stock” by Jack Hough who writes Smartmoney stock screen column. This is an introductory book to screening and is very nice complement to AAII in terms of providing perspective and helping to learn new strategies and test them out here at P123.

Kurt

31

Came across this daily free Small Cap news reader.
Which may be of interest to some in this community.

32

Check out the new book “Quantitative strategies for achieving alpha”. I just got the book today and I’ve only skimmed though it, but it looks like a great book for the P123 crowd. The author covers lots of factors and combinations of factors. He gives the returns by quintile for the universe and also by sector. He used the Compustat PIT database so the backtest results go back to the early 90s.

33

Dan:

Thanks for the tip. A book like this is just what I want to see - it will partly fill the 1990s gap in P123’s data history. I just ordered a copy from Amazon.

Have a great new year.

Brian

34

Good tip, Dan. Unfortunately, I bought the book on my Kindle, but the tables are all screwed up in that format, So I guess it’s the treeware version for me.

Happy New Year, all.

35

Here are some ofmy favorite books on investing. Although most of these books are not pure quant, I found them great reads. I have not put them in any order, although I must say I found Wanger’s book both interesting and useful.

  1. A Zebra In Lion Country - Ralph Wanger

  2. The New Money Masters - JohnTrain

3.Candlesticks Explained - Martin Pring

4.Innumeracy - Mathamatical Illiteracy And Its Consequences

  • John Allen Paulos

5.How To Make Money In Stocks - William J. O’Neil

  1. Reminiscences Of A Stock Operator - Edwin Lefevre

7.John Neff On Investing - John Neff

I found these books had a lot of good insights.

Wayne