Being an algo trader, my favourite trading books lean in that direction. The standouts in my opinion:
Pardo, [I]The Evaluation and Optimization of Trading Strategies[/I]
Aronson, [I]Evidence Based Technical Analysis[/I]
Vince, [I]The Handbook of Portfolio Mathematics[/I]
These are also good:
Jaekle and Tomasini, [I]Trading Systems[/I]
Chan, [I]Quantitative Trading[/I]
John Ehlers’ work is very useful and provides a different approach to ‘traditional’ technical analysis.
Fitschen’s [I]Building Reliable Trading Systems[/I] is also a good read. Even if you’re not an algorithmic or mechanical trader, Fitschen’s research on the ‘path of least resistance’ in the forex markets may surprise and enlighten you. It did for me anyway.