Time series and signal processing

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Hello everyone,

I've been learning about forex and building and testing Expert Advisors for about 6 months now and I am interested in increasing my knowledge in areas concerning time series analysis and signal processing. This is mainly due to the fact that I have found that many of the basic indicators that exist for trading markets (MA,momentum,stochastics,rsi, the list goes on) when applied or used systematically in the hundreds of mechanical trading systems available/possible can produce good results, but not with any high degree of consistency. I'm looking to increase the reliability of the systems I have created and coded with a knowledge of statistics and probability.

My background is in computer science and based on what I've read about beginning traders today and more specifically traders beginning in algorithmic trading, a recurring theme amongst them is a lack of a background in mathematics and statistics. Here is a perfect example as he is saying exactly that:

Common Errors of Novice Traders - Automated Trading Championship 2010 - "low overall level of mathematical literacy among novice developers."

So to begin increasing my mathematical literacy in the realm of financial markets, I picked up a copy of the book Applied Econometric Time Series by Walter Enders.

Has anyone read this book and been able to apply any or some of the concepts to algorithmic trading?

Does anyone not recommend this book or think there's a better introductory text to time series?

Are there any adittional texts that you think one should read concerning time series after I complete this book?

Any recommendations would be greatly appreciated. Thank You.

 

Get a book on time series analysis with R. It is amazing the things you can do in that language.

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