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I am sure you will be adding quite a few more books to the list in time as various subjects attached to systematic trading are breached  .   Eventually a definitive list of essential reading would be a fantastic resource . I certainly have a couple more to add to the list in time


I also pursue the types of thing you describe here . Over the years just for practice i have attempted to prove/disprove many market myths as well has turned into a very enlightening process , From simple thing like golden/death crosses to the extreme other end . Not all myths are myths are myths but many are  .  Much of what i code is testing to exploit price imbalances , this is where a lot of ' gold  ' exists  .  Mostly based around logical patterns created by events  .


This is a deep rabbit hole and there is an incredible amount of ground to cover , maybe a set of bullet points with books pertaining to each point type of list  . Systematic traders are essentially building a manual to trade something like an engineer would .  There are so many decisions that need to be made to start this journey . Algos are simply ( not suggesting its simple for a second) a set of questions asked in a particular order like a flow chart  that will eventually come out with a binary result or a series of binary results  . The Decision Tree , you basically should be applying the same concept to objectives in becoming systematic . I could go on for hours but i dont have the time atm .


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