Mechanical Trading Systems

No, I don't play golf.

L.I.T.E.R.A.T.U.R.E.
Learning Is The... - no, that's too long...

No, I don't play golf.

Bibliography:
Trading Systems - Risk Management - Money Management

The acquaintance with a single good book can modify your life.

I think it is impossible to succeed in the markets without a theoretical background. So reading at least 20 good books is a must. In my opinion a "good" book does not bother the reader with Entry methods or other Market Timing stuff. It focuses on probabilities, portfolio issues and the psychology involved.

Trading is not about having the latest indicators. Unfortunately obviously every trader has to go through the technical analysis period, where he or she is looking for THE indicator, which tells everything what will happen tomorrow.
The sooner you are able to accept that this is not the place where to focus your research on, the better.

However, once past the basics, what you need if you're planning to dig deeper and get more serious is a statistical view of the markets.
You don't even need to be the math-innovative-type, but to give you an example simple coin tosses can really stimulate your imagination to further develop your own money management schemes.
First stimulate, then simulate.

If you both understand and accept the importance of Money Management it would be enough to read the highly recommended books (letters in red). But nobody will understand the square or cubic root without knowing the fundamental operations of arithmetic...

Be sure to read the Expert Citations also.

1) Books:

Author	Title	Edition	Place	Year	Publisher
Angell, George	Winning in the Futures Markets	1	New York	1990	McGraw-Hill
Appel, Gerald	83 ways to beat the market	1	Greenville, S. C.	1986	Traders Press, Inc.
Arms, Richard W.	The Arms Index (TRIN)	1	Homewood, Illinois	1989	Dow Jones-Irwin
Atkin, Michael	A Guide to Futures Trading	1	London, New York	1989	Routledge
Babcock, Bruce, Jr.	The Dow Jones-Irwin Guide to Trading Systems	1	Homewood, Illinois	1989	Dow Jones-Irwin
Balsara, Nauzer J.	Money Management Strategies for Futures Traders	1	New York	1992	John Wiley & Sons Inc.
Baratz, Morton S.	The Investor's Guide to Futures Money Management	1	Columbia, Maryland	1989	Futures Publishing Group
Bernstein, Jake	How the Futures Markets work	1	New York	1989	New York Institute of Finance
Bleymüller, Josef Gehlert, Günther Gülicher, Herbert	Statistik für Wirtschaftswissenschaftler	9	München	1994	Vahlen
Büschgen, H. E.	Das kleine Börsenlexikon	18	Düsseldorf	1989	Verlag Wirtschaft und Finanzen
Colburn, James T.	Trading in Options on Futures	1	New York	1990	New York Institute of Finance
Cordero, R.	Risiko-Management mit Optionen	1	Bern, Stuttgart	1989	Verlag Paul Haupt
Cox, J. C., Rubinstein, M.	Options Markets	1	Englewood Cliffs/New Jersey	1985	Prentice-Hall
Cryer, Jonathan D., Miller, Robert B.	Statistics for Business: Data Analysis and Modeling	2	Belmont/ California	1994	Duxbury Press
Robert Deel	Trading the Plan: Build Wealth, Manage Money, and Control Risk	1	New York	1997	John Wiley & Sons Inc.
Dreesbach, Stefan	Terminhandel	1	Wiesbaden	1994	Gabler
Elder, Alexander	Financial Trading (Trading for a Living)	1	London	1993	Kogan Page
Elton, Edwin J., Gruber, Martin J.	Modern Portfolio Theory and Investment Analysis	4	New York	1991	John Wiley & Sons Inc.
Epstein, Charles B.	Managed Futures in the Institutional Portfolio	1	New York	1992	John Wiley & Sons Inc.
Erben, Wilhelm	Statistik mit Excel 5.0	1	München, Wien	1995	R. Oldenbourg
Fitzgerald, M. Desmond	Financial Options	1	London	1987	Euromoney Publications
Frost, Alfred J.	A Philosophy of Markets and the Outlook for Stocks, Gold and the Economy	1	Gainesville	1989	New Classics Library
Gallacher, William R.	Winner Take All: A Brutally Honest and Irreverent Look at the Motivations and Methods of Top Traders	1	Chicago/Illinois,	1994	Probus Publishing Company
Gehm, Fred	Quantitative Trading & Money Management	1	Chicago, Bógota, Boston,...	1995	Richard D. Irwin
Geyer, Alois	Betriebswirtschaftliches Entscheiden mit dem Personal Computer	1	Wien, New York	1990	Springer
Gietzen, Al	Real-Time Futures Trading	1	Chicago, Illinois	1994	Probus Publishing Company
Göcken, Ursula, Schulte, Karl-Werner	Fundamentale Aktienanalyse	1	Bergisch Gladbach, Köln	1990	Verlag Josef Eul
Hielscher, Udo	Investmentanalyse	1	München, Wien	1990	Verlag R. Oldenbourg
Hochstädter, Dieter	Statistische Methodenlehre. Ein Lehrbuch für Wirtschafts- und Sozialwissenschaftler	7	Frankfurt, Thun	1991	Harri Deutsch
Hull, J.	Options, Futures, and other Derivative Securities	1	Englewood Cliffs/New Jersey	1989	Prentice-Hall
Jackson, J. T.	Detecting High Profit Day Trades in the Futures Markets	1	Brightwaters, New York	1994	Windsor Books
Janssen, Jürgen, Laatz, Wilfried	Statistische Datenanalyse mit SPSS für Windows	1	Heidelberg	1994	Springer
Johannsen, Kai	Spekulieren auf Termin	1	Haar bei München	1990	Markt & Technik
Jones, Ryan	The Trading Game: Playing by the Numbers to make Millions	1	New York, Chichester	1999	John Wiley & Sons Inc.
Kase, Cynthia A.	Using the Power of Probability to profit in the Futures Market	1	Chicago	1996	Irwin Professional Publishing
Kaufman, Perry J.	The New Commodity Trading Systems and Methods	1	New York	1987	John Wiley & Sons Inc.
Kolb, Robert W.	Understanding Futures Markets	3	Miami, Florida	1991	Kolb Publishing Company
Kraus, Alexander	Makrolösungen mit Excel 4.0	2	München	1992	te-wi
Kraus, Alexander	Excel 5.0 Makrolösungen	1	München	1994	te-wi
LeBeau, Charles, Lucas, David W.	Technical Traders Guide to Computer Analysis of the Futures Market	1	Homewood, Illinois	1992	Business One Irwin
Lederman, Jess Klein, Robert A.	Global Asset Management	1	New York	1994	John Wiley & Sons Inc.
Lerbinger, Paul	Das große Buch der Aktie	1	Ebmatingen / Zürich	1987	Fortuna Finanz-Verlag
Lehnert, Uwe	Datenanalysesystem SPSS für Windows	1	München, Wien	1994	R. Oldenbourg
Loistl, Otto, Löderbusch, B., Schepers, N., Weßels, T.	Computergestütztes Wertpapiermanagement	4	München, Wien	1992	R. Oldenbourg
Loistl, Otto	Kapitalmarkttheorie	1	München, Wien	1991	R. Oldenbourg
Lukac, Louis P., Brorsen, Wade B., Irwin, Scott H.	A Comparison of twelve Technical Trading Systems	1	Greenville, S. C.	1990	Traders Press, Inc.
McCafferty, Thomas A.	Winning with Managed Futures	1	Chicago, Illinois	1994	Probus Publishing Company
Murphy, Joseph E., Jr.	Stock Market Probability	1	Chicago, Illinois	1994	Probus Publishing Company
Murphy, John J.	Technical Analysis of the Futures Markets	1	New York	1987	New York Institute of Finance
Natenberg, S.	Option Volatility and Pricing Strategies	1	Chicago	1988	Probus Publishing Company
Nölkel, Dieter	Die Deutsche Terminbörse	1	Pfaffenweiler	1990	Centaurus
Pardo, Robert	Design, Testing, and Optimization of Trading Systems	1	New York	1992	John Wiley & Sons Inc.
Pastré, Wilhelm	Handbuch der Börsenindikatoren	1	Würzburg	1990	Verlag A. Schmidt
Peters Carl C.	Managed Futures	1	Chicago	1992	Probus Publishing Company
Posmeck, Andreas	Futures Funds und Managed Futures	1	Wiesbaden	1994	Deutscher Universitäts-Verlag, Gabler
Prechter, Robert R.	A Turn in the Tidal Wave	1	Gainesville	1989	New Classics Library
Rotella, Robert	The Elements of successful Trading: Developing your comprehensive strategy through Psychology, Money Management and Trading Methods	1	New York	1992	New York Institute of Finance
Pring, Martin J.	Technical Analysis explained	3	New York	1991	McGraw Hill
Schwager, Jack	A Complete Guide to the Futures Markets	1	New York	1984	John Wiley & Sons Inc.
Schwager, Jack	Schwager on Futures: Managed Trading, Myths and Truths	1	New York	1996	John Wiley & Sons Inc.
Schwager, Jack	Schwager on Futures, Technical Analysis	1	New York	1995	John Wiley & Sons Inc.
Schwager, Jack	Market Wizards: Interviews With Top Traders	1	New York	1989	Prentice Hall Direct
Schwager, Jack	The New Market Wizards: Conversations with America's Top Traders	1	New York	1995	John Wiley & Sons Inc.
Sherry, Clifford J.	The New Science of Technical Analysis: Using Statistical Techniques of Neuroscience to Uncover Order and Chaos in the Markets	1	Chicago / Cambridge	1994	Probus Publishing Company
Siebers, Alfred B. J.	Gewinne realisieren an der Warenbörse	1	Landsberg / Lech	1987	Verlag Moderne Industrie
Stewart, T. H.	How Charts can make you money	1	New York	1985	Nichols Publishing Company
Süchting, Joachim	Finanzmanagement	5	Wiesbaden	1991	Gabler
Taleb, Nassim	Dynamic Hedging	1	New York	1997	John Wiley & Sons Inc.
Teupe, Franz J.	Chart Analyse	1	Dortmund	1991	Finanzverlag Franz J. Teupe
Uhlir, Helmut, Steiner, Peter	Wertpapieranalyse	2	Graz	1991	Physika-Verlag Heidelberg
Van K. Tharp	Trade Your Way to Financial Freedom	1	New York	1998	McGraw-Hill
Vince, Ralph	The Mathematics of Money Management: Risk Analysis Techniques for Traders	1	New York	1992	John Wiley & Sons Inc.
Vince, Ralph	The New Money Management: A Framework for Asset Allocation	1	New York	1995	John Wiley & Sons Inc.
Vince, Ralph	Portfolio Management Formulas: Mathematical Trading Methods for the Futures, Options, and Stock Markets	1	New York	1990	John Wiley & Sons Inc.
Welcker, Johannes	Technische Aktienanalyse	6	Zürich	1991	Verlag Moderne Industrie
Zahn	Handlexikon zu Futures, Optionen und innovativen Finanzinstrumenten	1	Frankfurt	1991	Fritz Knapp

2) Master's Theses/Dissertations:

Author	Title	Type	Place	Year	University
Fojtl, Christian	Technical Analysis of the Stock Markets in New York, Vienna and Frankfurt	Dipl.-Arb.	Wien	1989	Wirtschaftsuniversität Wien
Herlitz, Klaus	Technische Analyse	Diss.	Berlin	1975
Hruby, Alexander	Neuere Ansätze der Asset Allocation	Dipl.-Arb.	Wien	1994	Wirtschaftsuniversität Wien

3) Related Literature:

Author	Title	Edition	Place	Year	Publisher
Bös, M.	Optionsbewertung und Kapitalmarkt	1	Köln	1991	Josef Erl Verlag
Gastineau, G. L.	The Options Manual	3	New York	1988	McGraw-Hill Book Company
McMillan, L. G.	Options as a Strategic Investment	2	New York	1986	New York Institute of Finance
Müller-Möhl, E.	Optionen - Grundlagen und Strategien für das Optionsgeschäft	1	Stuttgart	1989	Schäffer Verlag
Sharpe, W. F.	Investments	3	Engelwood Cliffs/New Jersey	1985	Prentice-Hall International
Zimmermann, H.	Preisbildung und Risikoanalyse von Aktienoptionen	1	Grüsch (Schweiz)	1988
o. V.	Options	1	Chicago	1990	Business One Irwin, Options Institute, The Chicago Board Options Exchange
o. V.	Daily Graphs Options Guide	1	Los Angeles	1990	William O'Neil & Co. Inc.
o. V.	The Value Line Investment Survey	1	New York	1985	Value Line Inc.

e) Here is other literature which I either did not read or could not find (use the great Elsevier Search Archive to look for articles (64 Economics Journals, above all 'Review of Financial Economics'):

Ankrim, Ernest M., and Chris R. Hensel, "Commodities in Asset Allocation: A Real-asset Alternative to Real Estate?" Financial Analysts Journal, (May-June 1993) pp. 20-29.

Baratz, M.S. and Warren Eresian. "The Role of Managed Futures Accounts in an Investment Portfolio." MAR Conference on Futures Money Management, January, 1990.

Bodie, Z. and V. Rosansky. "Risk and Return in Futures Markets." Financial Analysts Journal, (May/June 1980).

Bodie, Zvi. "Commodity Futures as a Hedge Against Inflation." The Journal of Portfolio Management, (Spring 1983), pp. 12-17.

Carter, C., G. Rausser, and A. Schmitz. "Efficient Asset Portfolios and the Theory of Normal Backwardation." Journal of Finance, 40 (March 1985), 193-208.

Epstein, Charles B. (ed.). Managed Futures in the Institutional Portfolio. New York: John Wiley & Sons, 1992.

Evans, J.L. and S.H. Archer. "Diversification and the Reduction of Dispersion: An Empirical Analysis." Journal of Finance, (December 1968), 761-769.

Fischmar, D. and Carl C. Peters. "Portfolio of Stocks, Bonds and Managed Futures Using Compromise Stochastic Dominance." The Journal of Futures Markets, Vol. II, No. 3, June, 1991, pp. 259-270.

French, K. "A Comparison of Futures and Forward Prices." Journal of Financial Economics, 12 (1983), 311-342.

Grauer, F. and R. Litzenberger. "The Pricing of Commodity Futures Contracts, Nominal Bonds and Other Risky Assets Under Commodity Price Uncertainty.", Journal of Finance, 33 (1979), 69-83.

Gray, Roger. "Risk Management in Commodities and Financial Markets." American Journal of Agricultural Economics, (May 1976), 280-285.

Hartzmark, M. "Returns to Individual Traders of Futures: Aggregrate Results." Journal of Political Economy, 95 (1987), 1292-1306.

Herbst, Anthony F., and Joseph P. McCormack. "A Further Examination of the Risk/Return Characteristics of Portfolios Combining Commodity Futures Contracts with Common Stocks." Working Paper #CSFM-167, The Center for the Study of Futures Markets, Columbia Business School, (February 1988).

Irwin, S.H. and B.W. Brorsen. "Public Futures Funds." Journal of Futures Markets, Vol. 5, No. 3 (Fall 1985), pp. 463-485.

Irwin, Scott H. "Justifying Managed Futures." FIA Review, (Jul/Aug. 1990) pp. 10-12.

Irwin, Scott H. and Diego Landa. "Real Estate, Futures and Gold as Portfolio Assets." The Journal of Portfolio Management, (Fall 1987).

Irwin, Scott H., Terry Krukmeyer, and Carl R. Zulauf. "The Investment Performance of Public Commodity Pools over 1979-1989," submitted to The Journal of Futures Markets, and accepted for publication, 1992.

Lee, Chung F., Raymond Leuthold, and Jean Cordier. "The Stock Market and Commodities Futures Market: Diversification and Arbitrage Potential." Financial Analysts Journal, July-August 1985.

Lintner, J. "The Potential Role of Managed Commodity-Financial Futures Accounts (and/or Funds) in Portfolios of Stocks and Bonds." Paper presented at the

annual conference of the Financial Analysts Federation, Toronto, Canada, (May 16, 1983).

Lummer, Scott, and Lawrence B. Siegel, "GSCI Collateralized Futures: A Hedging and Diversification Tool for Institutional Investors," The Journal of Investing, (Summer 1993), pp. 75-82.

Markowitz, H. Portfolio Selection: Efficient Diversification of Investments. New York: Wiley, 1959.

Miller, Merton, and Myron Scholes. "Rate of Return in Relation to Risk: A Reexamination of Some Recent Findings" in Michael Jensen, ed. Studies in the Theory of Capital Markets. New York: Praeger, (1972).

Mitchell, Mark. "The Regulation of Commodity Trading Advisors." Emory Law Journal, (Fall 1976), pp. 957-1003.

Murphy, J. Austin. "Futures Fund Performance: A Test of the Effectiveness of Technical Analysis." The Journal of Futures Markets, Vol. 6, No. 2, 1986, pp. 175-185.

Orr, A. "John Lintner and the Theory of Portfolio Management." Presented at the Sixth Annual Managed Accounts Reports Conference, February, 1985; Chicago, Illinois (Revised, 1987).

Peters, Carl C. (ed.). Managed Futures -- Performance, Evaluation and Analysis of Commodity Funds, Pools and Accounts, Chicago: Probus Publishing, 1992.

Peters, Carl C. "New Perspective on Portfolio Risk Management." Presented at the 10th Annual MAR Conference on Futures Money Management, January, 1989; Scottsdale, Arizona.

Phillips, Willard R. Jr. "Fiduciaries and Futures." Journal of Financial Management, Vol. 1, No. 3, (1981).

Raynauld, Jacques and Jacques Tessier. "Risk Premiums in Futures Markets: An Empirical Investigation." The Journal of Futures Markets, 4, No. 2, (1984), 189-211.

Angrist, Stanley W. "Institutions Buy Futures to Cut Risks." The Wall Street Journal, December 10, 1990, C1.

Angrist, Stanley W. and Elyse Tanouye. "Professional Futures Traders Get More Money from Big Investors." The Wall Street Journal, August 5, 1991, C1.

Angrist, Stanley W. and Elyse Tanouye. "Key to Picking Managed Futures is to Focus on Possible Drawdown." The Wall Street Journal, February 21, 1992, p. C1.

Angrist, Stanley W. and Elyse Tanouye. "Managed Futures Can Provide a Cushion for Declines in an Investor's Portfolio." The Wall Street Journal, February 19, 1992, p. C1.

Angrist, Stanley W. and Elyse Tanouye. "Maze of High Fees, Costs Makes Picking Right Managed Futures Fund Critical." The Wall Street Journal, February 20, 1992, p. C1.

Angrist, Stanley W. "Virginia's Pension Plan Earmarks $100 Million for Futures Trading." The Wall Street Journal, April 26, 1991, C1.

Angrist, Stanley W. "The Big Money Gives Futures a Whirl." The Wall Street Journal, May 11, 1992, C1.

Burns, Mary Ann. "The Managed Money Business." FIA Review, (Jul/Aug. 1990), 7-9.

"Commodity Fund Law Takes Effect In Japan." Journal of Commerce, April 21, 1992, 7A.

Crawford, William B., Jr. "Money Managers See Future in Futures." Chicago Tribune, (Sep. 2, 1991), Sec. IV, 1.

Doohan, John. "Looking Into the Futures." World Link, 1992, No. 1, p. 125.

"Dubin &D; Swieca Lands Futures Trading Account from Alcoa Pension Fund." Securities Week, (December 23, 1991), 5.

Dubin, G., G. Hornig, and H. Swieca. "Experts Offer Look at Economic Value of Managed Futures." Pension World, May 1992, pp. 12-13.

Durr, Barbara. "Managed Futures Industry Given First Break." Financial Times, May 8, 1992, p. 19.

Greising, David. "Maybe It's Time to Put a Future in Your Portfolio." Business Week, December 30, 1991, p. 146.

"Friday Briefing: Rebuttal." Chicago Tribune, January 31, 1992, Section III, p. 1.

Hart, Patrick III and Richard Bornhoft. "Managed Futures Being Placed in Fund Portfolios." Pension World, April 1992, pp. 23-25.

Hunter, Kim. "Putting the Spotlight on Commodities." Futures and Options World, October 1991, 33-35.

"Kodak Leads the Move Into Commodities Trading." Corporate Finance, (April 1990), 69.

Leckey, Andrew. "Managed Futures Funds Making Inroads as a Hedge for Portfolios." Chicago Tribune, May 10, 1992, Sec VII., 6.

MacRae, Desmond. "Of Pork Bellies and Pension Funds." Global Investor, February 1992, p. 28.

Maidenberg, H.J. "Surprising Profits of Futures Funds." The New York Times, FebruaryÊ6, 1991, p. C8.

Miller, Merton H. "A Question of Cost." World Link, 1992, No. 1, p. 126-128.

"Pension Capital May Give Boost to Commodity Fund Trading." Journal of Commerce, April 13, 1992, 6A.

Pike, Richard. "Managed Futures Can Add Portfolio Stability." Pension World, (October 1989).

Pike, Richard. "What Institutions Want in Managed Futures Programs." Futures, November 1991, 36J-L.

Ring, Trudy. "Embracing Managed Futures." Global Finance, September 1991.

Sandner, John F. "The Future is in Managed Risk." World Link, January 31, 1992, pp. 126-128.

Sawyier, David R. "On Shore Headaches Move Funds Offshore." FIA Review, (July-August 1990) pp. 12-13.

Stahl, David. "Big Money Prospects for Managed Futures." Futures and Options World, October 1991, 37-41.

Szala, Ginger. "What Pension Plan Pros Think of Managed Futures." Futures, April 1992, 56-58.

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© Copyright:
Thomas Pflügl 1998 - 2021

Last updated: März 25, 2021

All rights reserved.

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© Copyright: Thomas Pflügl 1998 - 2021 Last updated: März 25, 2021

All rights reserved.

^{back
to top}

© Copyright:
Thomas Pflügl 1998 - 2021

Last updated: März 25, 2021