Quant Books on Algorithmic Trading
What books would you recommend on algorithmic trading? In particular, I’m interesting in reading about feature modeling (e.g. coming up with strategies) and back testing strategies.
The Evaluation and Optimization of Trading Strategies gives some basic fundamentals
I just finished “Cybernetic Trading Strategies: Developing a Profitable Trading System with State-of-the-Art Technologies”. It’s an older book but it gives a good starting point on how to model, test and deploy a strategy. I found it very informative.