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I highly recommend you "The Little Book That Still Beats the Market" by Joel Greenblatt.

This approach works - it's just a longer term algorithm. You will need patience, but over time, you will probably beat S&P 500 by a large margin.

Now, if you are looking for algorithms that trade 1000 times a day etc - forget it, or go find a job at an algorithmic trading shop.

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Thanks for the reply. Seeing an algorithm trade 1000 times per day seems cool but I’ve realised is not a sustainable strategy even if you find something profitable since the costs of doing that many trades will make it unprofitable.

I am basically learning algorithmic trading. I know it’s really hard and if someone finds something profitable they probably wouldn’t share it but it’s very motivational if you find something that beats the market even by a small margin.

The real problem is not in finding an algorithmic strategy that seem to work on historical data - the problem is how to validate sure it will work in the future and how to be confident it's still working even if it's loosing money for some time ?

Yes exactly that. Even if you backtest for many years it’s still possible that you’ll lose money because future although correlated to the past can always have different patterns.

Still it’s a really fascinating field to explore.

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