Thanks for the plug.
Begin with the free stuff. Watch the videos I have posted to YouTube:
http://www.blueowlpress.com/video-presentations
Understand the concept of "stationarity." In order for patterns, rules, and profits to continue in the future as they have in the historical data you will be mining as you work through system development, the future must resemble the past. That is, the distribution of what is important to your trading must be stationary.
Understand the concept of "risk normalization." Given two or more alternative uses of funds, use the techniques of risk normalization to be able to compare them, choose among them, and decide which (if any) should be traded.
My mantra: Trade frequently, trade accurately, hold a short period, avoid serious losses.
I recommend trading a single issue long/flat. Create as many systems that trade a single issue long/flat or short/flat (but this is harder) as you wish. Evaluate their performance daily. Trade the current best one. One. Creating a portfolio gives the illusion of safety through diversification, but guarantees that some of the funds are being used suboptimally.
The field of technical analysis / quantitative analysis is changing very rapidly. I feel traditional technical analysis based on visual examination of charts, drawing trend lines, looking for traditional patterns such as flags, support, resistance, divergence, etc is no long state-of-the-art and no longer worth learning. If you have the math aptitude for it, consider going straight to machine learning. Read the thread: "Getting started in machine learning for trading."
Separate the trading system from the trading management system. The trading system evaluates the price data in search of patterns that precede profitable trades and issues signals to buy or sell. Importantly, it has no position sizing component. The trading management system evaluates recent trades, determines the health of the system, estimates risk, estimates profit potential, computes maximum safe position size.
There are no challenger tournaments, no handicaps, no do-overs. From your first trade through your last, your competition is the best traders in the world -- Goldman Sachs, David Shaw, James Simons.
The single best book is "Thinking, Fast and Slow," by Daniel Kahneman. Dr. Kahneman explains how easily we fool ourselves. My recommended reading list, as of mid-2016, is:
http://www.blueowlpress.com/wp-content/uploads/2016/08/FT-Bibliography-Appendix-D.pdf
Search through ASF postings for more of my musings and rants.
Best regards, Howard