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This blog is free. There is no premium content for subscribers only. It has no ads. I don't sell software, trading courses, newsletters, or do coaching. Hopefully that means the material in it should be free of bias of all kinds (Except for my own stubborn opinions). To be crystal clear: I make no money whatsoever from it!

So if you appreciate this blog and want to say 'thanks'; then you might consider buying one or both of these books (which will have the added advantage of hopefully significantly improving your trading or investing).






2 comments:

  1. Hi Rob, in your book "systematic trading" you show that it takes an unexpectedly long period of backtesting data to support a significant positive Sharpe ratio. I would have thought that the significance of backtesting Sharpe ratio would be related to the number of trades rather than the duration of the backtest. Hence, a backtest of strategy with thousands of trades in say two years may be more signifncant that 20 years of backtesting of a strategy with only 100 trades.... Could you please elaborate? Thank you.

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    Replies
    1. You could look at the distribution of trades rather than of time history, but it won't usually give you more statistical significance unless by trading more often you also get higher annualised performance. I haven't got time or space to explain the maths here, but this would be a good choice for a future blog post.

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