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

[Brian G. Peterson]

Many methods for Calculating VaR/ES are implemented in the package
PerformanceAnalytics

The Kelly criterion is also implemented in PerformanceAnalytics, but you
may want to check out the newer derived Leverage Space Model which
extends the Kelly criterion to a portfolio context.  See package LSPM.

Regards,

   - Brian


-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock



On Tue, 2012-01-31 at 14:09 -0500, C W wrote:
> Dear all,
> I am trying to implement and compare several trading strategies
> against kelly criterion, the idea is the following
> 
> 
> 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.png
> In, this case, I simply let image.png.
> 
> 
> My goal is:
> 1. calculate value at risk, look at the variance:
> (E-X)-sqrt(var)=alpha
> 2. For each fixed 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