This is a summary of links featured on Quantocracy on Wednesday, 06/29/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Deciphering Correlation Hedged Momentum [TrendXplorer]In a new SeekingAlpha contribution (pending approval) we combine PAAs protective multi-market breadth approach with a generalized momentum metric based on correlation hedged returns. The resulting model is called Generalized Protective Momentum (GPM). In this blogpost the correlation hedge is deciphered. The correlation hedge is a simplified version of Keller and Butlers EAA-formula (see
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Pruitt, The Ultimate Algorithmic Trading System Toolbox [Reading the Markets]I am in the process of learning to code in Python and am, I must admit, no programming genius. So I was delighted to see that George Pruitt, best known for his book on TradeStations EasyLanguage (Building Winning Trading Systems with TradeStation) had written a new book that covered not only the TradeStation platform but also AmiBroker, Excel (with VBA), and Python. The Ultimate Algorithmic