[R-SIG-Finance] question on implementing trading strategy

[C W]

Dear all,
I am trying to implement and compare several trading strategies against
kelly criterion, the idea is the following

[image: image.png]

k: is the year, so, the summation is like a moving window
Google: historical price of Google

And this is the kelly criterion, I am comparing against.
[image: image.png]
In, this case, I simply let [image: image.png].

My goal is:
1. calculate value at risk, look at the variance: (E-X)-sqrt(var)=alpha
2. For each fixed [image: image.png], compare different stocks.
3. Compare for different stocks, and have say, 0.99 in stock, 0.01 in cash.
 Or, 0.9 in stock, 0.1 in cash.

I was wondering if any experts could let me know what and how I can do it?
 Anyone know the name or key term of this strategy, and how to implement it
in R?

Feel free to send me any message, thanks in advance.

Colin
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